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Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model

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Bibliographic Details
Main Authors:	Peiris, Rangika, Tran, Minh-Ngoc, Wang, Chao, Gerlach, Richard
Format:	Preprint
Published:	2024
Subjects:	Risk Management Machine Learning
Online Access:	Acceder al recurso
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