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Journal Articles Bankers Markets & Investors : an academic & professional review Year : 2015

Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup

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hal-02980012 , version 1 (27-10-2020)

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  • HAL Id : hal-02980012 , version 1

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Frédérique Bec. Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup. Bankers Markets & Investors : an academic & professional review, 2015, pp.5-19. ⟨hal-02980012⟩
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