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Non-Gaussianity
Principal component Value-at-Risk
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Journal of Mathematical Finance (2001), Vol 12 (1), 23-43.
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Principal component Value-at-Risk
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International Journal of Theoretical and Applied Finance, Vol 3, number 3 (2000), pp 541-545
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Harmonic Analysis in Value at Risk Calculations
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Modelling and Estimation of Financial Time Series
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Technical Report, 2000
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Extreme Value Theory techniques for scenario generation
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Technical Report. 2000
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Gaussian Processes for Financial Time Series, a C++ Implementation
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Technical Report, 1999
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Asymptotic Expansion for Value at Risk
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Master's thesis 1998. Department of Mathematics. University of Toronto
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