"A dominance approach for comparing the performance of VaR forecasting models."

Laura Garcia-Jorcano, Alfonso Novales (2020)

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DOI: 10.1007/S00180-020-00990-4

access: closed

type: Journal Article

metadata version: 2020-07-31

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Laura Garcia-Jorcano, Alfonso Novales:
A dominance approach for comparing the performance of VaR forecasting models. Comput. Stat. 35(3): 1411-1448 (2020)

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