Over a period of 252 days (1 year), a firm's unconditional VaR (p) was exceeded 19 times a) Construct a 95 confidence interval for the unconditional VaR violation rate b) Qualify the evidence for model misspecification Over a period of 252 days (1 year), a firm's unconditional VaR (p) was exceeded...

1 a To construct a 95 confidence interval for the unconditional VaR violation rate we can use the bi ...

Over a period of 252 days (1 year), a firm's unconditional VaR (p) was exceeded 19...

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Over a period of 252 days (1 year), a firm's unconditional VaR (p) was exceeded 19...

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