Backtesting Value-at-Risk: A GMM Duration-based Test
Year of publication: |
2009
|
---|---|
Authors: | Bertrand, Candelon ; Gilberg, Colletaz ; Christophe, Hurlin ; Sessi, Tokpavi |
Institutions: | Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization |
Subject: | Economics |
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