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~person:"Buczyński, Mateusz"
~subject:"Korrelation"
~subject:"Risk measure"
~type_genre:"Arbeitspapier"
~type_genre:"Collection of articles written by one author"
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Buczyński, Mateusz
McAleer, Michael
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GARCHNet - Value-at-Risk forecasting with novel approach to
GARCH
models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
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2
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:
3
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
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