Market Risk: An introduction to the concept & analytics of Value-at-risk
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- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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- John C. Frain, 2008. "Value at Risk (VaR) and the alpha-stable distribution," Trinity Economics Papers tep0308, Trinity College Dublin, Department of Economics, revised May 2008.
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