Browsing College of Business by Subject "GARCH filter"

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Browsing College of Business by Subject "GARCH filter"

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  • Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and ...

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