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- W2270059078 abstract "The paper is dedicated to the methodology of calculation, description of the properties and practical appliance of the realized volatility estimation, and its usage in the VaR calculation. The aim of the research is comparing of the realized volatility calculation methods, some of them are developed by the author and for the first time presented in the scientific publication. The results of the comparing enables to reader to conclude about accuracy superiority of the VaR estimation in the sense of smallest deviation from theoretical quantile if to use the new methods instead of the earlier created methods. Keywords: realized volatility; HAR-RV; VaR; market risk; financial crisis 2008." @default.
- W2270059078 created "2016-06-24" @default.
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- W2270059078 date "2014-01-01" @default.
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- W2270059078 title "Comparing «Realized volatility» models in the VaR calculation for the Russian equity market" @default.
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