Value-at-Risk: a multivariate switching regime approach

Monica Billio () and Loriana Pelizzon ()

Journal of Empirical Finance, 2000, vol. 7, issue 5, pages 531-554

Date: 2000
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Journal of Empirical Finance is edited by R. T. Baillie, G. Bekaert, W. Ferson, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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