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scientific article
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scientific article

    Statements

    author
    Dong Wu
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    Yin-cai Tang
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    publication date
    24 November 2008
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    zbMATH Keywords
    stable distribution
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    EPGARCH model
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    VaR calculation
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    leptokurtosis and fat-tail
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    volatility clustering
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    Identifiers

    Mathematics Subject Classification ID
    91B84
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    60H10
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    91B28
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    zbMATH DE Number
    5371346
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