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~institution:"Business School, University of Sydney"
~institution:"Society for Computational Economics - SCE"
~subject:"Skewed Student distribution"
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Skewed Student distribution
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Society for Computational Economics - SCE
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Computing in Economics and Finance 2001
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VALUE-AT-RISK
FOR LONG AND SHORT TRADING POSITIONS
Giot, Pierre
;
S»bastien Laurent
-
Society for Computational Economics - SCE
-
2001
In this paper we model
Value-at-Risk
(VaR) for daily stock index returns using a collection of parametric models of the …
Persistent link: https://www.econbiz.de/10005132864
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