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Persistent link: https://www.econbiz.de/10010478302
The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the...
Persistent link: https://www.econbiz.de/10010931025