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Volatility and VaR forecasting in the Madrid Stock Exchange

Trino Ñíguez Grau ()

Spanish Economic Review, 2008, vol. 10, issue 3, 169-196

Keywords: FIAPARCH; Heavy-tailed distributions; Leverage effect; Long memory; VaR; C32; C52; C53; G15 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10108-007-9030-6

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