Real-time assessment of value-at-risk and volatility accuracy (Q864231): Difference between revisions
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Revision as of 23:14, 19 March 2024
scientific article
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English | Real-time assessment of value-at-risk and volatility accuracy |
scientific article |
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Real-time assessment of value-at-risk and volatility accuracy (English)
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13 February 2007
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CUSUM
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density forecast assessment
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Kullback information
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likelihood ratio
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probability integral transformation
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sequential testing
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statistical process control
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