Examination of VaR after long term capital management
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References listed on IDEAS
- 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.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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KeywordsHakan Yalincak; Mike Tong; Yu Li; New York University; Value At Risk; Long Term Capital Management; Volatility; Swap Spreads; Convergence Arbitrage;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- A10 - General Economics and Teaching - - General Economics - - - General
- A11 - General Economics and Teaching - - General Economics - - - Role of Economics; Role of Economists
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