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Value-at-Risk Backtesting Procedures Based on Loss Functions: Simulation Analysis of the Power of Tests.

Krzysztof Piontek
Published in: GfKl (2012)
Keyphrases
  • loss function
  • empirical risk
  • pairwise
  • squared error
  • loss minimization
  • information retrieval
  • feature space
  • benchmark datasets
  • logistic regression
  • learning models