Backtesting portfolio value‐at‐risk with estimated portfolio weights
Article in Journal of Time Series Analysis (April 2020)
The most recent citing publications are shown below. View all 40 publications that cite this research output on Dimensions.
Article in Journal of Time Series Analysis (April 2020)
Article in Physica A Statistical Mechanics and its Applications (November 2019)
Article in IEEE Transactions on Big Data (August 2018)