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"Estimating and forecasting portfolio's Value-at-Risk with wavelet-based ..."
Rania Jammazi, Duc Khuong Nguyen (2017)
- Rania Jammazi, Duc Khuong Nguyen
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Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates. J. Oper. Res. Soc. 68(11): 1352-1362 (2017)
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