Are the Basel II requirements justified in the presence of structural breaks?
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/09603100701704298
Reference31 articles.
1. ISBN print: 92-9131-695-4,2005
2. Generalized autoregressive conditional heteroskedasticity
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4. A Note on Estimating Market-based Minimum Capital Risk Requirements: A Multivariate GARCH Approach
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