Evaluating Range Value at Risk Forecasts

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Publication:6313967

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DOI10.1515/strm-2020-0037arXiv1902.04489MaRDI QIDQ6313967

Tobias Fissler, Johanna F. Ziegel

Publication date: 12 February 2019

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical decision theory (62C99)

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