THE BEST OF BOTH WORLDS - A hybrid method for estimating VAR that is both easy and computationally cheap.
| Year of publication: |
1998
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|---|---|
| Authors: | Boudoukh, Jacob ; Richardson, Matthew ; Whitelaw, Robert |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 11.1998, 5, p. 64-67
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