Value-at-risk for long and short trading positions
Pierre Giot and Sébastien Laurent
Year of publication: |
2003
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Authors: | Giot, Pierre ; Laurent, Sébastien |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 18.2003, 6, p. 641-664
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Subject: | Wertpapierhandel | Securities trading | ARCH-Modell | ARCH model | Aktienindex | Stock index | Theorie | Theory | Deutschland | Germany | Frankreich | France | Japan | Schweiz | Switzerland | USA | United States | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | 1984-2000 |
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