Markov-Switching GARCH Modelling of Value-at-Risk
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Publication:3574728
DOI10.2202/1558-3708.1522zbMath1193.91181OpenAlexW2000761522MaRDI QIDQ3574728
Rasoul Sajjad, Jerry Coakley, John C. Nankervis
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/4770/1/snde.2008.12.3.1522.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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