A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
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DOI: 10.1007/s00180-010-0194-4
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- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
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Keywords
Value-at-risk; Dynamic quantile test; Bootstrap; Monte Carlo test;All these keywords.
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