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Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models

Claudiu Ilie Opreana
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Claudiu Ilie Opreana: Lucian Blaga University of Sibiu

Expert Journal of Finance, 2013, vol. 1, issue 1, 4-18

Keywords: Value-at-Risk; volatility forecasting; EWMA; GARCH models; autocorrelation (search for similar items in EconPapers)
Date: 2013
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