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Showing 1 to 1 of 1 for “"high frequency data ; aggregation ; Value-at-Risk ; GARCH model"”.
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Aukšto dažnio duomenų agregavimas ir vertės pokyčio rizika /
Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model defined as the maximum future loss due to likely changes in the value of financial assets portfolio during a certain period with a certain probability. A new definition of the …