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Time-scaling of value-at-risk in GARCH(1,1) and AR(1)-GARCH(1,1) processes
Brummelhuis, Raymond
;
Kaufmann, Roger
- In:
Journal of risk
9
(
2006/07
)
4
,
pp. 39-94
Persistent link: https://www.econbiz.de/10003502686
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Principal component value at risk
Brummelhuis, Raymond
;
Cordóba, Antonio
;
Quintanilla, Maite
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 541-545
Persistent link: https://www.econbiz.de/10001524229
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