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Financial Internet Quarterly
Volume 14 (2018): Issue 2 (June 2018)
Open Access
Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels
Mateusz Buczyński
Mateusz Buczyński
and
Marcin Chlebus
Marcin Chlebus
| Feb 14, 2019
Financial Internet Quarterly
Volume 14 (2018): Issue 2 (June 2018)
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Published Online:
Feb 14, 2019
Page range:
67 - 82
Received:
Nov 15, 2017
Accepted:
Jun 30, 2018
DOI:
https://doi.org/10.2478/fiqf-2018-0013
Keywords
Value-at-Risk
,
CAViaR
,
GARCH
,
combined forecasts
,
quality assessment
,
risk management
© 2018 Mateusz Buczyński et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.