Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625)

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scientific article; zbMATH DE number 6952620
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Backtesting Value‐at‐Risk: A Generalized Markov Test
scientific article; zbMATH DE number 6952620

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    Backtesting Value‐at‐Risk: A Generalized Markov Test (English)
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    12 October 2018
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    duration
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    quantile
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    likelihood ratio
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    market risk management
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