Comparison of value-at-risk models using the MCS approach
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Publication:736648
DOI10.1007/s00180-016-0646-6zbMath1342.65020OpenAlexW2285445848MaRDI QIDQ736648
Mauro Bernardi, Leopoldo Catania
Publication date: 4 August 2016
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-016-0646-6
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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