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Deng, Shi-Jie’ AUTHOR PAGE
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E-Mail: deng@isye.gatech.edu
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Affiliation: Georgia Institute of Technology
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Interval Estimation for the Value-at-Risk Based on GARCH Models with Heavy Tailed Innovations 2005
Chan, Ngai Hang
Deng, Shi-Jie
Peng, Liang
Xia, Zhendong
 
ARCH and GARCH models are widely used to model financial market volatilities inmany risk management applications. Based on a GARCH model with heavy-ta...
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