Risk forecasting in (T)GARCH models with uncorrelated...

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Risk forecasting in (T)GARCH models with uncorrelated dependent innovations

Beckers, Benjamin, Herwartz, Helmut, Seidel, Moritz
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2016.1184303
Date:
June, 2016
File:
PDF, 611 KB
english, 2016
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