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Semiparametric Estimation of Value at Risk

Fan, Jianqing and Gu, Juan

Semiparametric Estimation of Value at Risk J5085 2003 - 2003 - 261-290 V. 06 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Aggregate returns;Value at risk;Volatility;Quantile;Semiparametric;Choice of decay factor;

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