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Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
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ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation …
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