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BacktestingVaRES

Repository to replicate the Monte Carlo simulation study in Hotta, Trucíos & Zevallos (2024)

References

Hotta, L., Trucíos, C., and Zevallos, M. (2024). A note about calibration tests for VaR and ES. To appear in Time Series and Wavelets: A Festschrift in Honor of Pedro A. Morettin, Springer.

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