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, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …
Persistent link: https://www.econbiz.de/10008461116
tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions … threshold. We show the impact of the estimation procedure on the computation of the capital requirement - through the VaR …
Persistent link: https://www.econbiz.de/10008752545