Bootstrap prediction intervals for VaR and ES in the context of GARCH models
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-04 (All new papers)
- NEP-ECM-2010-06-04 (Econometrics)
- NEP-FOR-2010-06-04 (Forecasting)
- NEP-RMG-2010-06-04 (Risk Management)
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