## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple ValueβatβRisk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle C
β¦ LIBER β¦
The performance of composite forecast models of value-at-risk in the energy market
β Scribed by Yen-Chen Chiu; I-Yuan Chuang; Jing-Yi Lai
- Book ID
- 108120969
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 216 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0140-9883
No coin nor oath required. For personal study only.
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