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A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange
Elenjical, Timmy, Mwangi, Patrick, Panulo, Barry, Huang, Chun-SungVolume:
18
Language:
english
Journal:
Risk Management
DOI:
10.1057/rm.2016.4
Date:
August, 2016
File:
PDF, 478 KB
english, 2016