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Switching-regime ARCH models
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Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
Tang, Wei-Ting
;
Gau, Yin-Feng
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Econometric Society
-
2004
: Value-at-Risk, Switching-regime
ARCH
models
. …
Persistent link: https://www.econbiz.de/10005342286
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