A sequential method for the evaluation of the VaR model based on the run between exceed\-ances
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Publication:819416
DOI10.1007/S101820400159zbMath1083.62093OpenAlexW24984638MaRDI QIDQ819416
Publication date: 28 March 2006
Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s101820400159
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)
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