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Journal: J. Risk Financial Manag., 2025
Volume: 18
Number: 203
Article:
Modelling Value-at-Risk and Expected Shortfall for a Small Capital Market: Do Fractionally Integrated Models and Regime Shifts Matter?
Authors:
by
Wafa Souffargi and Adel Boubaker
Link:
https://www.mdpi.com/1911-8074/18/4/203
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