Asymptotic properties of duration-based VaR backtests
Work
Year: 2022
Type: article
Source: Statistics & Risk Modeling
Author Marta Małecka
Institution University of Łódź
Cites: 42
Cited by: 2
Related to: 10
FWCI: 0.513
Citation percentile (by year/subfield): 45.88
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: closed