Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio
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References listed on IDEAS
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More about this item
KeywordsValue-at-Risk; model evaluation; conditional cover- age; duration based coverage testing;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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