Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, but little (and unconvincing) on VaR backtesting... We don't want to use near horizons for various (mostly obvious) reasons.
Subscribe to:
Post Comments (Atom)
-
I use a form maybe 100 times a day. I can tab between the fields with no problem but most of the time I don't have to fill out the entir...
-
In microsoft word, for paragraph formatting, you have this option: "Don't add space between paragraphs of the same style" Is t...
-
I am trying to place this raster logo supplied by a client on a large format template (this being a raster logo of some text in Arial is a s...
No comments:
Post a Comment