Backtesting portfolio value‐at‐risk with estimated portfolio weights
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Publication:5135314
DOI10.1111/jtsa.12524zbMath1452.91288OpenAlexW3125190358MaRDI QIDQ5135314
Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2010-010.pdf
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