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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process.

Massimiliano FrezzaSergio BianchiAugusto Pianese
Published in: Comput. Manag. Sci. (2022)
Keyphrases
  • stock market
  • short term
  • financial time series
  • risk management
  • early warning
  • stock returns