✦ LIBER ✦

Backtesting Value-at-Risk: A Duration-Based Approach

✍ Scribed by Christoffersen, P.

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Backtesting Value-at-Risk: A GMM Duratio

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

Backtesting value-at-risk based on tail

✍ Woon K. Wong 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 285 KB

Backtesting Parametric Value-at-Risk Wit

✍ Escanciano, J. Carlos; Olmo, Jose 📂 Article 📅 2010 🏛 American Statistical Association 🌐 English ⚖ 589 KB

Robust Backtesting Tests for Value-at-ri

✍ Escanciano, J. C.; Olmo, J. 📂 Article 📅 2010 🏛 Oxford University Press 🌐 English ⚖ 316 KB

Backtesting Value-at-Risk: Case Study on

✍ Iorgulescu, Filip 📂 Article 📅 2012 🏛 Elsevier 🌐 English ⚖ 361 KB

A Value at Risk Approach to Background R

✍ Luciano, Elisa ;Kast, Robert 📂 Article 📅 2001 🏛 Springer 🌐 English ⚖ 205 KB