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Back-testing extreme value and...
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Back-testing extreme value and Lévy value-at-risk models
Bibliographic Details
Main Authors:
Sharif, Mozumder
,
Michael, Dempsey
,
M. Humayun, Kabir
Format:
text
Language:
eng
Published:
Emerald
2017
Subjects:
Value-at-Risk,Back-testing,Extreme value,Generalized hyperbolic distributions,Lévy–Kintchine formula
Holdings
Description
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