Abstract
Abstract
This abstract relates to the following paper:
Frankland, R., Smith, A. D., Sharpe, J., Bhatia, R., Jarvis, S., Jakhria, P. and Mehta, G. (2019) Calibration of VaR models with overlapping data. British Actuarial Journal, 24, e23. doi: 10.1017/S1357321719000151
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability