A Note on Jointly Backtesting Models for Multiple Assets and Horizons
| Year of publication: |
2017
|
|---|---|
| Authors: | Ardia, David |
| Other Persons: | Guerrouaz, Anas (contributor) ; Hoogerheide, Lennart F. (contributor) |
| Publisher: |
[2017]: [S.l.] : SSRN |
| Description of contents: |
We propose a simulation-based methodology which allows us to test the performance of multi-level and/or multi-horizon Value-at-Risk forecasts
|
| Extent: | 1 Online-Ressource (6 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: Wilmott Magazine 83, pp.46-48, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 13, 2016 erstellt |
| Classification: | C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C22 - Time-Series Models ; C44 - Statistical Decision Theory; Operations Research |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012970031