Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio
Year of publication: |
2006-05-01
|
---|---|
Authors: | Kilic, Ekrem |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Value-at-Risk | model evaluation | conditional cover- age | duration based coverage testing |
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