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Mitrodima, Gelly ORCID: 0009-0007-5360-5221 and Oberoi, Jaideep
(2024)
CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features.
Journal of the Royal Statistical Society. Series C: Applied Statistics, 73 (1).
1 - 27.
ISSN 0035-9254