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~institution:"Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)"
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Bootstrap test
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GARCH
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Marginal models
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
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EconWPA
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European Central Bank
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School of Economics and Finance, Queen Mary
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A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis
Ardia, David
;
Gatarek, Lukasz
;
hoogerheide, Lennart F.
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2014
for
multiple
time
series
is particularly useful if one wants to assess Value-at-Risk (or Expected Shortfall) predictions …
Persistent link: https://www.econbiz.de/10010752080
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