Value-at-Risk for fixed-income portfolios: a Kalman...

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Value-at-Risk for fixed-income portfolios: a Kalman filtering approach

Date, P., Bustreo, R.
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Language:
english
Journal:
IMA Journal of Management Mathematics
DOI:
10.1093/imaman/dpv016
Date:
May, 2015
File:
PDF, 193 KB
english, 2015
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