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A new approach to comparing VaR estimation methods

Pèrignon, Christoph & Smith, Daniel (2008) A new approach to comparing VaR estimation methods. The Journal of Derivatives, Winter, pp. 54-66.

Impact and interest:

3 citations in Scopus
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2 citations in Web of Science®

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ID Code: 30782
Item Type: Journal Article
Keywords: VaR Estimation methods, Statistical Methods, Risk managment, Investments
ISSN: 1074-1240
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Investment and Risk Management (150205)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 12 Feb 2010 22:47
Last Modified: 11 Aug 2011 02:57

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