Parametric Value-at-Risk analysis : evidence from stock indices
Year of publication: |
2012
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Authors: | Mabrouk, Samir ; Saadi, Samir |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 52.2012, 3, p. 305-321
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Subject: | Risikomaß | Risk measure | Aktienindex | Stock index | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | Großbritannien | United Kingdom | Deutschland | Germany | Japan | Frankreich | France | 1990-2008 |
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