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~institution:"National Bureau of Economic Research"
~institution:"University of Canterbury / Dept. of Economics and Finance"
~subject:"Kreditrisiko"
~subject:"Volatilität"
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Procyclical Leverage and
Value-at-Risk
Adrian, Tobias
-
2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks'
Value-at-Risk
(VaR). Motivated by the …
Persistent link: https://www.econbiz.de/10012459718
Saved in:
2
Forecasting
value-at-risk
using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
3
Risk management of precious metals
Hammoudeh, Shawkat
;
Malik, Farooq
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689064
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