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  • Search: isPartOf:"ICMA Centre Discussion Papers in Finance DP 2011-08"
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ARCH model 1 ARCH-Modell 1 Capital income 1 Estimation theory 1 Kapitaleinkommen 1 Risikomaß 1 Risk measure 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Zeitreihenanalyse 1
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Free 1
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English 1
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Alexander, Carol 1 Lazar, Emese 1 Stanescu, Silvia 1
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ICMA Centre Discussion Papers in Finance DP 2011-08 1
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Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
Alexander, Carol - 2011
It is widely accepted that some of the most accurate predictions of aggregated asset returns are based on an appropriately specified GARCH process. As the forecast horizon is greater than the frequency of the GARCH model, such predictions either require time-consuming simulations or they can be...
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