The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index
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KeywordsVolatility; Basel II; Backtesting; Value-at-Risk;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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