Browsing by OzU Authors "Baronyan, Sayat"
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Ranking the predictive performances of value-at-risk estimation methods
Şener, Emrah; Baronyan, Sayat; Mengütürk, L. A. (Elsevier, 2012)We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The ...
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