Worst fluctuation method for fast value-at-risk estimates
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References listed on IDEAS
- Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,, "undated". "The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets," Working Papers 1992-10-22, Olsen and Associates.
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- J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
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- G1 - Financial Economics - - General Financial Markets
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