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The effect of organizational studies on financial risk measures estimation

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Academic year: 2019

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Table 1 summarizes the distinctions  between Modernist and Postmodernist  assumptions, according to Miller (2009)
Figure 1. Daily log-returns of S&P500 from January 2000  to December 2012.
Figure 3. ES forecasting for S&P500 at 1% significance  level in out-of-sample period with estimation window  N=1,000 using unconditional HS and conditional FHS  methods.
Figure 4. Densities of VaR forecasting for S&P500  at 1% significance level in out-of-sample period with  estimation window N=1,000 using unconditional HS  and conditional FHS methods.

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