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Chen, Chao
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The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory
Wang, Zongrun
;
Wu, Weitao
;
Chen, Chao
;
Zhou, Yanju
- In:
Journal of Applied Statistics
37
(
2010
)
2
,
pp. 265-282
by historical simulation and
variance-covariance
method, VaR values calculated by EVT can measure the risk more …
Persistent link: https://www.econbiz.de/10008582912
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