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Univariate and Multivariate Volatility Models for Portfolio Value at Risk
by Jingyi Xiao, Siqi Mao, Xufeng Niu and Yixin Kang
Journal of Finance and Economics. 2024, 12(1), 1-14. DOI: 10.12691/jfe-12-1-1
Pub. Date: February 02, 2024Views: 1851Downloads: 4794
Value at Risk (VaR) GARCH-type Model Multivariate GARCH models
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