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    • Evaluating Value-at-Risk models via Quantile regressions 

      Gaglianone, Wagner Piazza; Linton, Oliver; Lima, Luiz Renato Regis de Oliveira (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2008-09-04)
      This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...