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Impact of value-at-risk models on market stability. (2017). Peffer, Gilbert ; Llacay, Barbara.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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  1. Identifying systemic risk of assets during international financial crises using Value at Risk elasticities. (2023). Chau, Trinh Nguyen ; Fauzi, Fitriya ; Perera, Devmali ; Borer, Daniel.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003484.

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