Accurate value-at-risk forecasting based on the normal-GARCH model

Christoph Hartz, Stefan Mittnik, Marc Paolella. Accurate value-at-risk forecasting based on the normal-GARCH model. Computational Statistics & Data Analysis, 51(4):2295-2312, 2006. [doi]

Authors

Christoph Hartz

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Stefan Mittnik

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Marc Paolella

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