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~isPartOf:"CORE Discussion Papers"
~subject:"GARCH"
~subject:"Intraday volatility"
~subject:"futures"
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GARCH
Intraday volatility
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Value-at-Risk
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APARCH
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Value at Risk
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asymmetric dependence
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risk management
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value-at-risk
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expected shortfall
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BAUWENS, Luc
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2
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1
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1
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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1
Commodities inventory effect
CARPANTIER, Jean - François
-
Center for Operations Research and Econometrics (CORE), …
-
2010
management, hedging strategies or
Value-at-Risk
estimates. Incidentally, the inventory effect sheds some new light on the debate …
Persistent link: https://www.econbiz.de/10008642223
Saved in:
2
A component GARCH model with time varying weights
BAUWENS, Luc
;
STORTI, Giuseppe
-
Center for Operations Research and Econometrics (CORE), …
-
2007
value
at
risk
and expected shortfall. Finally we discuss the results of an application to a series of daily returns on the S …
Persistent link: https://www.econbiz.de/10005008491
Saved in:
3
The information content of implied volatility in agricultural commodity markets
GIOT, Pierre
-
Center for Operations Research and Econometrics (CORE), …
-
2002
. Secondly,
Value-at-Risk
(VaR) models that rely exclusively on lagged implied volatility perform as well as VaR models where the …
Persistent link: https://www.econbiz.de/10005043100
Saved in:
4
Intraday
value-at-risk
.
GIOT, Pierre
-
Center for Operations Research and Econometrics (CORE), …
-
2000
-frequency duration models) and non-parametric (empirical quantile, extreme distributions models)
Value-at-Risk
(VaR) techniques to …
Persistent link: https://www.econbiz.de/10005042801
Saved in:
5
Adaptive polar sampling with an application to a Bayes measure of
value-at-risk
BAUWENS, Luc
;
BOS, Charles S.
;
DIJK, Herman K. VAN
-
Center for Operations Research and Econometrics (CORE), …
-
1999
the
Value-at-Risk
of the return of the Dow Jones stock index. …
Persistent link: https://www.econbiz.de/10005042753
Saved in:
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