Parametric Value-at-Risk analysis: Evidence from stock indices
Year of publication: |
2012
|
---|---|
Authors: | Mabrouk, Samir ; Saadi, Samir |
Published in: |
The Quarterly Review of Economics and Finance. - Elsevier, ISSN 1062-9769. - Vol. 52.2012, 3, p. 305-321
|
Publisher: |
Elsevier |
Subject: | Value-at-Risk | GARCH | Non-normality | Long range memory |
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