Backtesting value‐at‐risk : a generalized Markov test
Year of publication: |
August 2017
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Authors: | Pajhede, Thor |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 5, p. 597-613
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Subject: | value‐at‐risk | backtesting | Markov chain | duration | quantile | likelihood ratio | maximum likelihood | Statistischer Test | Statistical test | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Markov-Kette | Schätzung | Estimation | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory |
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