Backtesting VaR Models : A Τwo-Stage Procedure
Year of publication: |
2018
|
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Authors: | Angelidis, Timotheos |
Other Persons: | Degiannakis, Stavros Antonios (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | VAR-Modell | VAR model | Risikomaß | Risk measure | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (28 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 3, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3259849 [DOI] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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