Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

  1. Del Brio, E.B.
  2. Mora-Valencia, A.
  3. Perote, J.
Journal:
Physica A: Statistical Mechanics and its Applications

ISSN: 0378-4371

Year of publication: 2014

Volume: 401

Pages: 330-343

Type: Article

DOI: 10.1016/J.PHYSA.2014.01.037 GOOGLE SCHOLAR
Data source: Scopus