Value-at-risk analysis for Taiwan stock index futures : fat tails and conditional asymmetries in return innovations
Year of publication: |
2004
|
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Authors: | Huang, Yu chuan ; Lin, Bor-jing |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 22.2004, 2, p. 79-95
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Subject: | Index-Futures | Index futures | Prognoseverfahren | Forecasting model | Taiwan | Risikomaß | Risk measure |
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