Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
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References listed on IDEAS
- Dufour, Jean-Marie, 2006.
"Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics,"
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More about this item
KeywordsValue-at-Risk; Monte Carlo test;
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-03 (All new papers)
- NEP-ECM-2009-01-03 (Econometrics)
- NEP-ORE-2009-01-03 (Operations Research)
- NEP-RMG-2009-01-03 (Risk Management)
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