Backtesting value-at-risk : a comparison between filtered bootstrap and historical simulation
Dario Brandolini; Stefano Colucci
| Year of publication: |
2012
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|---|---|
| Authors: | Brandolini, Dario ; Colucci, Stefano |
| Published in: |
The journal of risk model validation. - London : Risk Journals, ISSN 1753-9579, ZDB-ID 23167646. - Vol. 6.2012, 4, p. 3-16
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| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010077136