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Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory

by Ahmed GHORBEL and Sameh SOUILMI

International Journal of Econometrics and Financial Management. 2014, 2(5), 188-205. DOI: 10.12691/ijefm-2-5-4
Pub. Date: September 30, 2014Views: 46271 Downloads: 41422Like: 58

risk measurement oil natural gas and phosphate markets filtered data conditional EVT value-at-risk expected shortfull

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