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Regular variation and extremal dependence of GARCH residuals with application to market risk measures
Laurini, Fabrizio
;
Tawn, Jonathan A.
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 146-169
Persistent link: https://www.econbiz.de/10003800712
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Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
Laurini, Fabrizio
;
Tawn, Jonathan A.
- In:
Econometric reviews
28
(
2008
)
1
,
pp. 146-170
Persistent link: https://www.econbiz.de/10009266578
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