Early Detection Techniques for Market Risk Failure
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- Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
- Pouliot, W. & Olmo, J., 2008. "U-statistic Type Tests for Structural Breaks in Linear Regression Models," Working Papers 08/15, Department of Economics, City University London.
More about this item
KeywordsBacktesting; Basel Accord; Change-Point tests; Conditional Quantile; Risk management; Value at Risk.;
StatisticsAccess and download statistics
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