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Exponential smooth transition autoregressive model
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Value-at-Risk
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market index model
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principal components
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AStA Advances in Statistical Analysis
Hannover Economic Papers (HEP)
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang
;
Hlávka, Zdeněk
;
Stahl, Gerhard
- In:
AStA Advances in Statistical Analysis
90
(
2006
)
2
,
pp. 273-297
Persistent link: https://www.econbiz.de/10005155565
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2
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
Rothe, Christoph
;
Sibbertsen, Philipp
- In:
AStA Advances in Statistical Analysis
90
(
2006
)
3
,
pp. 439-456
Persistent link: https://www.econbiz.de/10005598094
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