Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
| Year of publication: |
2013
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|---|---|
| Authors: | Degiannakis, Stavros ; Floros, Christos ; Dent, Pamela |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 11336225. - Vol. 27.2013, p. 21-33
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