Decay factor optimisation in time weighted simulation — Evaluating VaR performance
| Year of publication: |
2011
|
|---|---|
| Authors: | Žiković, Saša ; Aktan, Bora |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943x. - Vol. 27.2011, 4, p. 1147-1160
|