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Mata-Mata, Leovardo
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Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana: A conditional approach to VaR with multivariate α-stable sub-Gaussian dist...
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Serrano-Bautista, Ramona
,
Mata-Mata, Leovardo
Published 2018
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Related Subjects
C13
C22
C51
Distribución α-estable Sub-Gaussiana
G17
GARCH multivariado estable Sub-Gaussiano
Valor en Riesgo
Value at Risk
multivariate stable Sub-Gaussian GARCH model
α-stable Sub-Gaussian distribution