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Bernardo da Veiga
Information about the author Bernardo da Veiga will soon be added to the site.
Found
2 papers
in total
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Single-index and portfolio models for forecasting value-at-risk thresholds
2008
The variance of a portfolio can be forecast using a single index model or the...
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
2008
Accurate modelling of volatility (or risk) is important in finance, particularly as it...
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