The use of GARCH models in VaR estimation
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Cites work
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Cited in
(41)- A detailed comparison of value at risk estimates
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- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
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- Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
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- Scaling laws: a viable alternative to value at risk?
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