Backtesting Value-at-Risk Models: A Multivariate Approach
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References listed on IDEAS
- Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
- Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.
- Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
- Christophe Perignon & Daniel R. Smith, 2010. "Diversification and Value-at-Risk," Post-Print hal-00528390, HAL.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-BAN-2010-12-18 (Banking)
- NEP-ECM-2010-12-18 (Econometrics)
- NEP-RMG-2010-12-18 (Risk Management)
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