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~person:"Małecka, Marta"
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VaR backtesting
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boundary of the parameter space
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exponential autoregressive conditional duration
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test power
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Małecka, Marta
Blasques, Francisco
8
Koopman, Siem Jan
6
Lucas, André
6
Tse, Yiu Kuen
6
Herrera, Rodrigo
5
Dong, Yingjie
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Lanne, Markku
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Peitz, Christian
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Tse, Yiu-Kuen
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Feng, Yuanhua
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Grammig, Joachim
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Jokivuolle, Esa
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Lasak, Katarzyna
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Schipp, Bernhard
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Tay, Anthony
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Ting, Christopher
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Tomanová, Petra
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Warachka, Mitch
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Łasak, Katarzyna
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Bowe, Michael
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Diana, Tony
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Forstinger, Sarah
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Gallo, Giampiero
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González, Nicolás
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Holý, Vladimír
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Huptas, Roman
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Hyde, Stuart
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Liu, Shouwei
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Luca, Giovanni De
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Manganelli, Simone
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McFarlane, Lavern
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Pacurar, Maria
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Peiris, Shelton
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Pohlmeier, Winfried
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Wellner, Marc
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Wu, Zhengxiao
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Abid, Fathi
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Aknouche, Abdelhakim
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Allen, David
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Statistics in Transition New Series
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Statistics in transition : an international journal of the Polish Statistical Association
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EconStor
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Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
2
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
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