Mauro Bernardi, Leopoldo Catania. Comparison of Value-at-Risk models using the MCS approach. Comput. Stat., 31(2):579-608, 2016. [doi]
@article{BernardiC16-0,
title = {Comparison of Value-at-Risk models using the MCS approach},
author = {Mauro Bernardi and Leopoldo Catania},
year = {2016},
doi = {10.1007/s00180-016-0646-6},
url = {https://doi.org/10.1007/s00180-016-0646-6},
researchr = {https://researchr.org/publication/BernardiC16-0},
cites = {0},
citedby = {0},
journal = {Comput. Stat.},
volume = {31},
number = {2},
pages = {579-608},
}