City Research Online

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

Escanciano, J. C. and 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 Arts & Social Sciences > Economics > Discussion Paper Series
Date available in CRO: 05 Sep 2012 10:14
Date of first online publication: 2007
URI: https://openaccess.city.ac.uk/id/eprint/1472
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