Robust Backtesting Tests for Value-at-risk Models
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- Escanciano, Juan Carlos & Pei, Pei, 2012.
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- Curti, Filippo & Migueis, Marco, 2016. "Predicting Operational Loss Exposure Using Past Losses," Finance and Economics Discussion Series 2016-2, Board of Governors of the Federal Reserve System (U.S.), revised 12 Oct 2016.
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