Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 18 (2002)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ijforecast
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Cahiers de recherche
04-05, HEC Montréal, Institut d'économie appliquée.
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