Pitfalls in Backtesting Historical Simulation VAR Models

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Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos, Pei, Pei
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Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2026537
File:
PDF, 456 KB
english, 2012
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