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June 27, 2016
 

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Subject/Keyword: fat-tail distributions

 
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1. Title: Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
  Author/Editor: Barnhill, Theodore M. ; Souto, Marcos
  Published: December 01, 2007
  Subject(s): Emerging markets | Brazil | Banks | Interest rates | Credit risk
  Author's Keyword(s): Forecasting | multivariate stochastic volatility | fat-tail distributions | Monte Carlo estimation
 

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