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~institution:"Banco Central do Brasil"
~institution:"Eidgenössische Technische Hochschule Zürich"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
~person:"Buczyński, Mateusz"
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Search: subject_exact:"Conditional value at risk"
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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
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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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