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Multivariate GARCH models
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Multivariate Student density
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Value-at-Risk
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skewed Student distribution
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Laurent, Sébastien
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Bauwens, Luc
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Society for Computational Economics - SCE
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
36
Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
13
Federal Reserve Bank of St. Louis
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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CESifo
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Centre Emile Bernheim, Solvay Brussels School of Economics and Management
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Centre d'études prospectives et d'informations internationales (CEPII)
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Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen
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Département d'Économie Appliquée (DULBEA), Solvay Brussels School of Economics and Management
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
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Faculté des Sciences juridiques, politiques et sociales, Université du Droit et de la Santé (Lille 2)
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Luxembourg School of Finance, Faculté de droit, d'économie et de finance
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Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
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School of Economics and Management, University of Aarhus
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Computing in Economics and Finance 2002
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Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
Giot, Pierre
;
Laurent, Sébastien
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Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005706602
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A New Class of Multivariate skew Densities, with Application to GARCH Models
Bauwens, Luc
;
Laurent, Sébastien
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005537684
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