A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis

Helmut Herwartz () and Israel Waichman ()

Computational Statistics, 2010, vol. 25, issue 4, 725-732

Keywords: Value-at-risk; Dynamic quantile test; Bootstrap; Monte Carlo test (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00180-010-0194-4

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