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Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index
Chen, Yi-Wen
;
Lin, Chu-Bin
;
Tu, Anthony H.
- In:
Emerging markets, finance & trade : a journal of the …
56
(
2020
)
12
,
pp. 2693-2710
Persistent link: https://www.econbiz.de/10012312671
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