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  • Search: subject:"Kupiec back-testing procedure"
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Year of publication
Subject
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Expected Shortfall 1 Fractional Integration 1 GARCH 1 Kupiec back-testing procedure 1 Value-at-Risk 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Garbers, Chris 1 Katzke, Nico 1
Institution
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Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1
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Working Papers / Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1
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RePEc 1
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Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?
Katzke, Nico; Garbers, Chris - Department of Economics, Fakulteit Ekonomiese en … - 2015
In this paper we set out to test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. The purpose of this analysis is not to identify the most optimal...
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