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~subject:"Dynamic VaR"
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Dynamic VaR
Johnson SU
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Anderson-Darling test
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
Bhattacharyya, Malay
;
Madhav R, Siddarth
-
Volkswirtschaftliche Fakultät, …
-
2012
,
Johnson
SU
, Manly’s exponential transformation, normal and t-distributions. In the second ap- proach, the ARMA-GARCH process …
Persistent link: https://www.econbiz.de/10011259375
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