Estimation risk effects on backtesting for parametric value-at-risk models

Escanciano, J. C. & Olmo, J. (2007). Estimation risk effects on backtesting for parametric value-at-risk models (Report No. 07/11). London, UK: Department of Economics, City University London.

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Item Type: Monograph (Discussion Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics > Department of Economics Discussion Paper Series
URI: http://openaccess.city.ac.uk/id/eprint/1472

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