Modelling daily Value-at-Risk using realized volatility and ARCH type models
| Year of publication: |
2004
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|---|---|
| Authors: | Giot, Pierre ; Laurent, Sébastien |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 11.2004, 3, p. 379-398
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