Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?
Year of publication: |
1999
|
---|---|
Authors: | Goorbergh, R.W.J. van den ; Vlaar, P.J.G. |
Institutions: | de Nederlandsche Bank |
Subject: | Value-at-Risk | AEX | Dow Jones | Capital Requirements |
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