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Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™

  • Michael Phelan
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    File URL: http://hdl.handle.net/10.1023/A:1007926803627
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    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 12 (1997)
    Issue (Month): 2 (October)
    Pages: 175-200

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    Handle: RePEc:kap:jfsres:v:12:y:1997:i:2:p:175-200
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102934

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    1. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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