Backtesting Value-at-Risk: A GMM Duration-Based Test
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/9/2/314/2437423/nbq025.pdf
Reference11 articles.
1. Testing normality: a GMM approach
2. Evaluating Interval Forecasts
3. Backtesting Value-at-Risk: A Duration-Based Approach
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