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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"The journal of risk model validation"
~person:"Arhus, Gisle Hoel"
~person:"Yu, Philip L. H."
~subject:"Risk measure"
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Arhus, Gisle Hoel
Yu, Philip L. H.
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Journal of risk and financial management : JRFM
The journal of risk model validation
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An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
2
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
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