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Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns.

Herick Fernando MorallesDaisy Aparecida do Nascimento RebelattoAlexandre Sartoris
Published in: Math. Comput. Model. (2013)
Keyphrases
  • goodness of fit
  • null hypothesis
  • test statistic
  • chi square
  • confidence intervals
  • cross entropy
  • kl divergence
  • decision trees
  • training data
  • statistical methods