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~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
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Value-at-risk for long and short trading positions
GIOT, Pierre
;
LAURENT, Sébastien
-
Center for Operations Research and Econometrics (CORE), …
-
2001
, NASDAQ, NIKKEI and SMI stock indexes. We also compute the expected short-
fall
and the average multiple of tail event to risk …
Persistent link: https://www.econbiz.de/10005065352
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