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Technical paper

Error of VAR by overlapping intervals

Author: Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo

Source: Asia Risk | 01 Apr 2009

Categories: Risk Management, VAR

There are many applications in which the long-term statistical properties of short-term financial time series are required. For example, we might be...

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Error of VAR by overlapping intervals

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