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~institution:"Business School, University of Sydney"
~institution:"Society for Computational Economics - SCE"
~person:"Lu, Zudi"
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Asymmetric Laplace distribution
2
Exponentially weighted moving average (EWMA)
2
Skewed EWMA
2
Skewness and heavy tails
2
Time-varying shape parameter
2
Value-at-risk (VaR)
2
forecasting
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Lu, Zudi
Gerlach, Richard
8
Chen, Cathy W.S.
3
Chan, Nancy Y. C.
2
Chen, Qian
2
Giot, Pierre
2
Huang, Hai
2
Lee, Wcw
2
Lin, Edward M.H.
2
Bauwens, Luc
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Chen, Cathy W.S
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Chen, Cathy WS
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Contino, Christian
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Gerlach, Richard H.
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KAMDEM, Jules SADEFO
1
Komunjer, Ivana
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Laurent, Sébastien
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Lima, Luiz Renato
1
Lin, Edward MH
1
Néri, Breno Pinheiro
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Rombouts, Jeroen VK
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Storti, Giuseppe
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S»bastien Laurent
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Verbeek, Marno
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Business School, University of Sydney
Society for Computational Economics - SCE
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Working Papers / Business School, University of Sydney
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Estimating
Value
At
Risk
Lu, Zudi
;
Huang, Hai
-
Business School, University of Sydney
-
2010
technique,
value-at-risk
(VaR) has turned to be a popular measure of the degree of various risks in financial risk management …
Persistent link: https://www.econbiz.de/10010690293
Saved in:
2
Estimating
Value
At
Risk
Gerlach, Richard
;
Huang, Hai
;
Lu, Zudi
-
Business School, University of Sydney
-
2010
technique,
value-at-risk
(VaR) has turned to be a popular measure of the degree of various risks in financial risk management …
Persistent link: https://www.econbiz.de/10010699868
Saved in:
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