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The Stochastic Volatility Model, Regime Switching and Value-At-Risk (Var) in International Equity Markets

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Boonyakunakorn2018 - Value at Risk of SET Returns Based

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Manuscript: Symmetrical and Asymmetrical Mixture Autoregressive Processes

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Asymmetric Power Distribution: Theory and Applications To Risk Measurement

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Studies in Nonlinear Dynamics & Econometrics: Markov-Switching GARCH Modelling of Value-at-Risk

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