Conditional tail behaviour and Value at Risk (Q5440099)
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scientific article; zbMATH DE number 5231520
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional tail behaviour and Value at Risk |
scientific article; zbMATH DE number 5231520 |
Statements
Conditional tail behaviour and Value at Risk (English)
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31 January 2008
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Value at Risk
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Paretian tails
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GARCH
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runs test
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back testing
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