Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
| Year of publication: |
2008
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|---|---|
| Authors: | Mcaleer, Michael ; da Veiga, Bernardo |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 7834329. - Vol. 27.2008, 1, p. 1-20
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