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Mathematical Problems in Engineering
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Mathematical Problems in Engineering
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2011
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Article
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Tab 1
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Research Article
Financial Applications of Bivariate Markov Processes
Table 1
VaR
Markov Gaussian
0.0100
0.0295
0.0485
EWMA Gaussian
0.0066
0.0206
0.0344
Markov Student
0.0099
0.0302
0.0497
EWMA Student
0.0092
0.0276
0.0398