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Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence

✍ Scribed by Degiannakis, Stavros; Floros, Christos; Dent, Pamela

Book ID: 121745122
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 954 KB
Volume: 27
Category: Article
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2012.06.001

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