Time series analysis for financial market meltdowns
Year of publication: |
2010
|
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Authors: | Kim, Young Shin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo ; Mitov, Ivan ; Fabozzi, Frank J. |
Institutions: | Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie |
Subject: | ARMA-GARCH model | »-stable distribution | tempered stable distribution | value-at-risk (VaR) | average value-at-risk (AVaR) |
Extent: | application/pdf |
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Series: | Working Paper Series in Economics. - ISSN 2190-9806. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2 |
Source: |
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Time series analysis for financial market meltdowns
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