Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models.
| Autor: | ALOUI, Chaker1 cmaloui@ksu.edu.sa, BEN HAMIDA, Hela2 benhamida_hela@yahoo.fr |
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| Zdroj: | Finance a Uver: Czech Journal of Economics & Finance. 2015, Vol. 65 Issue 1, p30-54. 25p. |
| Databáze: | Business Source Ultimate |
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