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Modeling Risk for Long and Short Trading Positions

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Figure

Table I. Descriptive Statistics of S&P500, FTSE100, Gold Bullion $/Troy Ounce, London
Figure 1. Daily log-returns for the period of January 3rd 1989 to June 30th 2003.
Table II. Exhibit 4. The two-stage model selection procedure. Column 2 presents the models that have

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