Asymptotic properties of duration-based VaR backtests (Q2093055)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic properties of duration-based VaR backtests |
scientific article |
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Asymptotic properties of duration-based VaR backtests (English)
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4 November 2022
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VaR test
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geometric test
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geometric-VaR test
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Gini coefficient
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test size
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test power
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