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~isPartOf:"European economic review : EER"
~isPartOf:"Working papers"
~person:"Hassani, Samir Saissi"
~subject:"VAR model"
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VAR model
Basel Accord
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Hassani, Samir Saissi
Korobilis, Dimitris
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Panagiōtidēs, Theodōros
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Afonso, António
4
Caggiano, Giovanni
4
Casarin, Roberto
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Castelnuovo, Efrem
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Woźniak, Tomasz
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Dionne, Georges
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European economic review : EER
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
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2
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
3
The new international regulation of market risk : roles of VaR and CVaR in
model
validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
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