"Parametric VaR with goodness-of-fit tests based on EDF statistics for ..."

Herick Fernando Moralles, Daisy Aparecida do Nascimento Rebelatto, Alexandre Sartoris (2013)

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DOI: 10.1016/J.MCM.2013.07.002

access: open

type: Journal Article

metadata version: 2024-10-06

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Herick Fernando Moralles, Daisy Aparecida do Nascimento Rebelatto, Alexandre Sartoris:
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns. Math. Comput. Model. 58(9-10): 1648-1658 (2013)

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