A dominance approach for comparing the performance of VaR forecasting models (Q2203429)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dominance approach for comparing the performance of VaR forecasting models |
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A dominance approach for comparing the performance of VaR forecasting models (English)
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6 October 2020
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value at risk
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backtesting
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forecast evaluation
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dominance
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conditional volatility models
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asymmetric distributions
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