Using the same data as in the previous question, calculate the one-day 95% VaR using the hybrid
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Using the same data as in the previous question, calculate the one-day 95% VaR using the hybrid method with a window of 256 days and a decay factor of 0.99.
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
Question Posted:
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