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  • Search: subject:"Term- Structure Dynamic Models"
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Year of publication
Subject
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Extreme Value 1 Fixed Income 1 GARCH 1 Incomplete Panels 1 Kalman Filter 1 Risk 1 Term- Structure Dynamic Models 1 Value-at-Risk 1
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Book / Working Paper 1
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Undetermined 1
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Bernales, Alejandro 1 Beuermann, Diether 1 Cortazar, Gonzalo 1
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EconWPA 1
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Finance 1
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RePEc 1
Showing 1 - 1 of 1
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Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.
Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005
This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...
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