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~accessRights:"free"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
~language:"eng"
~language:"slv"
~subject:"ARCH-Modell"
~type:"book"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
~type_genre:"Übersichtsarbeit"
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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2019
Persistent link: https://www.econbiz.de/10012041611
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Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2017
Persistent link: https://www.econbiz.de/10011907622
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EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2016
Persistent link: https://www.econbiz.de/10011788233
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