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Has the Basel Accord improved risk management during the global financial crisis?

✍ Scribed by McAleer, Michael; Jimenez-Martin, Juan-Angel; Perez-Amaral, Teodosio


Book ID
120936887
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
700 KB
Volume
26
Category
Article
ISSN
1062-9408

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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