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Optimal execution strategy of liquidation
Estimating value-at-risk for chinese stock market by switching regime ARCH model
1. | Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China, China |
2. | LMAM and Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing 100871, China, China |
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