Journal of Mathematical Finance

Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org
"A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns"
written by Malay Bhattacharyya, Siddarth Madhav R,
published by Journal of Mathematical Finance, Vol.2 No.1, 2012
has been cited by the following article(s):
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[14] Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
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[15] Estimation of dynamic VaR using JS U and PIV distributions
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[16] Evaluation of the South African equity markets in a value-at-risk framework
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[17] 非独立序列的 POT 模型及其在汇率风险中的应用
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[18] Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
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[19] Impact of non-normal return and market capitalization on estimation of VaR
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[20] Modelos VaR para calcular el capital mínimo regulatorio por riesgo de mercado
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[21] Semiparametric density forecasting of electricity load for smart charging of electric vehicles
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[22] Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation
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[23] MODELOS VAR PARA CALCULAR EL CAPITAL MÍNIMO REGULATORIO POR RIESGO DE MERCADO/VAR MODELS TO CALCULATE THE MINUMUN …
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[24] Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
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[25] Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
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[26] ANALISIS NILAI RISIKO (VALUE AT RISK) MENGGUNAKAN UJI KEJADIAN BERNOULLI (BERNOULLI COVERAGE TEST)(Studi Kasus pada Indeks Harga Saham Gabungan)
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