Backtesting Value-at-Risk: A Generalized Markov Framework

Publikation: Working paper › Forskning

Standard

Backtesting Value-at-Risk : A Generalized Markov Framework. / Nielsen, Thor Pajhede.

2015.

Publikation: Working paper › Forskning

Harvard

Nielsen, TP 2015 'Backtesting Value-at-Risk: A Generalized Markov Framework'. <https://www.economics.ku.dk/research/publications/wp/dp_2015/1518.pdf>

APA

Nielsen, T. P. (2015). Backtesting Value-at-Risk: A Generalized Markov Framework. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Bind 2015 Nr. 18 https://www.economics.ku.dk/research/publications/wp/dp_2015/1518.pdf

Vancouver

Nielsen TP. Backtesting Value-at-Risk: A Generalized Markov Framework. 2015.

Author

Nielsen, Thor Pajhede. / Backtesting Value-at-Risk : A Generalized Markov Framework. 2015. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18, Bind 2015).

Bibtex

@techreport{3b4bb567cf184a469c9127e3c10e00f5,
title = "Backtesting Value-at-Risk: A Generalized Markov Framework",
author = "Nielsen, {Thor Pajhede}",
note = "JEL Classification: C12, C15, C52, C32.",
year = "2015",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "18",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Backtesting Value-at-Risk

T2 - A Generalized Markov Framework

AU - Nielsen, Thor Pajhede

N1 - JEL Classification: C12, C15, C52, C32.

PY - 2015

Y1 - 2015

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Backtesting Value-at-Risk

ER -

ID: 150341121