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Research Output 2014 2019

  • 1 Conference contribution
  • 1 Article
  • 1 Discussion paper
  • 1 Working paper
Discussion paper

Construction of Value at-Risk forecasts under different distributional assumptions within a BEKK framework

Scholtes, N. & Braione, M., 2014, (In preparation) 37 p. (CORE Discussion Paper Series).

Research output: Working paperDiscussion paper

Value at risk
Skewed distribution
Multivariate GARCH
Financial assets