Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
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Cited by:
- Zi-Yi Guo, 2017. "Heavy-tailed Distributions and Risk Management of Equity Market Tail Events," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 31-41.
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Keywords
Value-at-Risk; Normal Inverse Gaussian (NIG); FTSE/JSE TOP40 index;All these keywords.
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