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Search: subject:"Conditional autoregressive value at risk"
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ECONIS (ZBW)
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The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
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2
Regresión cuantílica dinámica para la medición del valor en Riesgo : una aplicación a datos colombianos
Mariño Ustacara, Daniel
;
Melo-Velandia, Luis Fernando
-
2016
Persistent link: https://www.econbiz.de/10011580741
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3
Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate
Peng, Wei
;
Hu, Shichao
;
Chen, Wang
;
Zeng, Yu-feng
;
Yang, Lu
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 137-149
Persistent link: https://www.econbiz.de/10012202498
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4
Estimación bayesiana del valor en riesgo : una aplicación para el mercado de valores colombiano
Londoño H., Charle Augusto
;
Correa, Juan Carlos
; …
- In:
Cuadernos de economía
33
(
2014
)
2
,
pp. 635-678
Persistent link: https://www.econbiz.de/10011532484
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