Contributions of a noisy chaotic model to the stressed Value-at-Risk
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More about this item
KeywordsValue-at-risk; Mackey-Glass model; GARCH; backtesting tests; Mean-Gini portfolio; dynamical and chaotic systems;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G0 - Financial Economics - - General
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