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Semantic Scholar uses AI to extract papers important to this topic.
2013
2013
SFB 823 A new set of improved value-at-risk backtests D iscussion P aper
D. Ziggel
,
Tobias Berens
,
Gregor N. F. Weiß
2013
Corpus ID: 54762249
We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our…
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