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~institution:"School of Economics and Finance <Brisbane>"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
~type:"book"
~type_genre:"Arbeitspapier"
~type_genre:"Bibliography included"
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3
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Chlebus, Marcin
3
Buczyński, Mateusz
2
Boulter, Terry
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School of Economics and Finance <Brisbane>
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Ekonomiska forskningsinstitutet <Stockholm>
11
Centre for Analytical Finance <Århus>
10
University of Canterbury / Dept. of Economics and Finance
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Econometrisch Instituut <Rotterdam>
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William Davidson Institute <Ann Arbor, Mich.>
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1
Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2019
Persistent link: https://www.econbiz.de/10012041611
Saved in:
2
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the:
GARCH
(1,1),
GARCH
-t(1,1),
GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
3
EWS-
GARCH
: new regime switching approach to forecast value-at-risk
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2016
Persistent link: https://www.econbiz.de/10011788233
Saved in:
4
Asymmetric information arrival and the short-run dynamics of Australian dollar volatility : a mixture of distributions approach
Boulter, Terry
-
2000
Persistent link: https://www.econbiz.de/10001517853
Saved in:
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