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Asia-Pacific banks risk exposures: pre and post the Asian financial crisis

✍ Scribed by Au Yong, Hue Hwa; Faff, Robert


Book ID
126973159
Publisher
Taylor and Francis Group
Year
2008
Tongue
English
Weight
203 KB
Volume
18
Category
Article
ISSN
0960-3107

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## ABSTRACT Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models is compared, including standard, threshold nonlinear and Markov switching generalized autoregressive conditional heteroskedasticity (GARCH) specifications, plus standard an