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A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk

Omari, Cyprian Ondieki (International Journal of Econometrics and Financial Management,, 2017)

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Author
- Omari, Cyprian Ondieki (1)
Subject
- backtesting, generalized autoregressive conditionally heteroscedastic (GARCH) models, Value-at-Risk (VaR), volatility clustering, Conditional and Unconditional Coverage Tests (1)
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Date Issued
- 2017 (1)
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