Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Evaluating Value-at-Risk models via Quantile regressions"
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Evaluating Value-at-Risk models via Quantile regressions
2008-09-04This 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) ...


