Title of article
VaR is subject to a significant positive bias
Author/Authors
Koji Inui، نويسنده , , Masaaki Kijima، نويسنده , , Atsushi Kitano، نويسنده ,
Issue Information
فصلنامه با شماره پیاپی سال 2005
Pages
13
From page
299
To page
311
Keywords
Value-at-Risk , Harrell–Davis estimator , Historical simulation , Concave ordering
Journal title
Statistics and Probability Letters
Serial Year
2005
Journal title
Statistics and Probability Letters
Record number
140484
Link To Document