Monte Carlo VaR with one basic asset
item 2 on page 133 has an incorrect second index for the y. It should be \(y_{t+1,i}\) not \(y_{t+1,t}\)
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item 2 on page 133 has an incorrect second index for the y. It should be \(y_{t+1,i}\) not \(y_{t+1,t}\)
Corrections and comments are very much appreciated. Please get in touch.