Dimension Reduction in the Computation of Value‐at‐Risk

Claudio Albanese, Ken Jackson and Petter Wiberg

Journal of Risk Finance, 2002, vol. 3, issue 4, 41-53

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Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:eb043499

DOI: 10.1108/eb043499

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