City Research Online - Estimation risk effects on backtesting for parametric value-at-risk models

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 (07/11). London, UK: Department of Economics, City University London.

Publication Type:	Monograph (Discussion Paper)
Subjects:	H Social Sciences > HB Economic Theory
Departments:	School of Policy & Global Affairs > Economics > Discussion Paper Series

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Creators:	Escanciano, J. C. Olmo, J.
Status:	Published
Publisher:	Department of Economics, City University London
URI:	https://openaccess.city.ac.uk/id/eprint/1472
Date available in CRO:	05 Sep 2012 10:14
Dates:	Date Event 2007 Published