Validation of index and benchmark assignment: adequacy of capturing tail risk
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Published:2019-12
Issue:
Volume:
Page:71-105
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ISSN:1753-9579
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Container-title:Journal of Risk Model Validation
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language:
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Short-container-title:JRMV
Author:
Prorokowski Lukasz
Publisher
Infopro Digital Services Limited
Subject
Applied Mathematics,Economics and Econometrics,Finance,Modelling and Simulation