Evaluating predictive performance of value-at-risk models in emerging markets: a reality check

Evaluating predictive performance of value-at-risk models in emerging markets: a reality check

Lee, Tae-Hwy, (2006)

Comparing density forecast modelsFNR HREF="fn1"> FN ID="fn1">Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004).

Bao, Yong, (2007)

Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets : A Reality Check

Bao, Yong, (2016)