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Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup

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https://hal-cyu.archives-ouvertes.fr//hal-02980012
Contributor : Cybu Recherche <>
Submitted on : Tuesday, October 27, 2020 - 1:25:00 PM
Last modification on : Wednesday, October 28, 2020 - 3:32:56 AM

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  • HAL Id : hal-02980012, version 1

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Frédérique Bec. Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2015, pp.5-19. ⟨hal-02980012⟩

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