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    ANOR
    2007
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    A conditional-SGT-VaR approach with alternative GARCH models
    14 years 4 months ago
    A conditional-SGT-VaR approach with alternative GARCH models
    Download  mfs.rutgers.edu
    This paper proposes a conditional technique for the estimation of VaR and expected shortfall measures based on the skewed generalized t (SGT) distribution. The estimation of the co...
    Turan G. Bali, Panayiotis Theodossiou
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