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Tae-Hwy Lee
Information about the author Tae-Hwy Lee will soon be added to the site.
Found
2 papers
in total
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Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
2006
We investigate the predictive performance of various classes of value-at-risk (VaR)...
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
2004
We analyze the predictive performance of various volatility models for stock returns....
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