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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
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2017
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Article
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Tab 6
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Research Article
Dynamic VaR Measurement of Gold Market with SV-T-MN Model
Table 6
The test of the number of failures of the return risk under different distribution assumptions at
= 445.
Confidence level
Acceptance interval
Failure times
EVT-POT-SV-T-MN
SV-N
95%
27
35
97.5%
8
11
99%
3
5