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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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