✦ LIBER ✦

A new set of improved Value-at-Risk backtests

✍ Scribed by Ziggel, Daniel; Berens, Tobias; Weiß, Gregor N.F.; Wied, Dominik

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Backtesting Value-at-Risk: A Duration-Ba

✍ Christoffersen, P. 📂 Article 📅 2004 🏛 Oxford University Press 🌐 English ⚖ 374 KB

Backtesting Value-at-Risk: A GMM Duratio

✍ Candelon, B.; Colletaz, G.; Hurlin, C.; Tokpavi, S. 📂 Article 📅 2010 🏛 Oxford University Press 🌐 English ⚖ 309 KB

Entropic Value-at-Risk: A New Coherent R

✍ Ahmadi-Javid, A. 📂 Article 📅 2011 🏛 Springer 🌐 English ⚖ 666 KB

Addendum to: Entropic Value-at-Risk: A N

✍ Ahmadi-Javid, A. 📂 Article 📅 2012 🏛 Springer 🌐 English ⚖ 311 KB

A new Fourier transform algorithm for va

✍ Albanese, Claudio; Jackson, Ken; Wiberg, Petter 📂 Article 📅 2004 🏛 Taylor and Francis Group 🌐 English ⚖ 682 KB

Bias of a Value-at-Risk estimator

✍ Yong Bao; Aman Ullah 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 124 KB