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  • Search: subject:"nonnested testing"
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Year of publication
Subject
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nonnested testing 2 ARCH model 1 ARCH-Modell 1 Estimation 1 Estimation theory 1 Gestion des risques 1 Risk management 1 Schätztheorie 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 model risk 1 model selection 1 options 1 risque modèle 1 stochastic volatility 1 tests non emboîtés 1 volatility 1 volatilité 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Working Paper 1
Language
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English 2
Author
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Christoffersen, Peter 1 Hahn, Jinyong 1 Inoue, Atsushi 1 Messow, Philip 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing
Messow, Philip - 2013
Persistent link: https://www.econbiz.de/10009793512
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Cover Image
Testing and Comparing Value-at-Risk Measures
Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001
Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...
Persistent link: https://www.econbiz.de/10005100810
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