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~accessRights:"free"
~institution:"CESifo"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"Expected Shortfall"
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Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa
;
Filer, Randall
-
CESifo
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2012
statistically significant difference in their performance. The top performers are conditional extreme value
GARCH
model, models …
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