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Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
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Density functionals, with an option-pricing application
Abadir, Karim Maher
;
Rockinger, Michael
- In:
Econometric theory
19
(
2003
)
5
,
pp. 778-811
Persistent link: https://www.econbiz.de/10001802812
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Testing for differences in the tails of stock-market returns
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 559-581
Persistent link: https://www.econbiz.de/10001806965
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