Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan
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References listed on IDEAS
- Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 39-69.
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More about this item
KeywordsANC; VaR; GJR-GARCH; futures industry;
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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