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This paper presents cointegration analyses of the import and export functions of the Czech Republic in 1993-1998 by identifying the main variable factors and estimating the long-run equilibrium relationship of Czech foreign trade functions. A long-run equilibrium relationship was found in the...
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developed in which a smooth, cubic spline signal function is used to approximate the price curve data. Estimation may then be …
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In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated …-covariance method for VaR estimation were investigated. Performance of all approaches was evaluated using seven performance criteria … volatility. It also achieves perfect coverage (95 %) and the highest correlation between risk measure and absolute value of the …
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