Backtesting Value-at-Risk: A Comparison between Filtered...

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SSRN Electronic Journal 2011

Backtesting Value-at-Risk: A Comparison between Filtered Bootstrap and Historical Simulation

Colucci, Stefano, Brandolini, Dario
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Year:
2011
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1965377
File:
PDF, 2.93 MB
english, 2011
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