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Giot, P.
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Laurent, S.
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Value-at-
risk
for Long and Short Trading Positions.
Giot, P.
;
Laurent, S.
-
Center for Operations Research and Econometrics (CORE), …
-
2001
In this paper we model Value-at-
Risk
(VaR) for daily stock index returns using a collection of parametric models of the …
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