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Mesut BALIBEY,Serpil TURKYILMAZ
Pág. 836 - 848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory...
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