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~institution:"Department of Economics, Trinity College Dublin"
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alpha stable distribution
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VaR
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Value at Risk
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day of week effects
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regression
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Frain, John C.
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Department of Economics, Trinity College Dublin
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
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EconWPA
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices
Frain, John C.
-
Department of Economics, Trinity College Dublin
-
2008
tails and a possible
alpha-stable
distribution
, the results can be checked for robustness using methods such as those …
Persistent link: https://www.econbiz.de/10005345869
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2
Value at Risk (VaR) and the
alpha-stable
distribution
Frain, John C.
-
Department of Economics, Trinity College Dublin
-
2008
the Value at Risk measure of risk can be improved by the use of an
alpha-stable
distribution
in place of more conventional …
Persistent link: https://www.econbiz.de/10005729332
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