Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan
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References listed on IDEAS
- Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value-at-Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
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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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