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Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation

✍ Scribed by Nikolaev, Nikolay Y.; Boshnakov, Georgi N.; Zimmer, Robert

Book ID: 121377945
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 602 KB
Volume: 40
Category: Article
ISSN: 0957-4174
DOI: 10.1016/j.eswa.2012.10.038

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