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VaR Prediction under Long Memory in Volatility

Harald Kinateder, Prof. Niklas Wagner. VaR Prediction under Long Memory in Volatility. In Bo Hu, Karl Morasch, Stefan Pickl, Markus Siegle, editors, Operations Research Proceedings 2010, Selected Papers of the Annual International Conference of the German Operations Research Society, Universität der Bundeswehr, München, September 1-3, 2010. pages 123-128, Springer, 2010. [doi]

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