A sequential method for the evaluation of the VaR model based on the run between exceedancers

Laurenţiu Mihailescu. Department of Economics, European University Viadrina

Year of publication:	2003
Authors:	Mihailescu, Laurenţiu
Publisher:	Frankfurt (Oder) : Dep. of Economics, European Univ. Viadrina
Subject:	Kontrollkarte \| Risikomanagement \| Risk management \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Risikomaß \| Risk measure \| Sequentialtest \| Sequential test \| Statistische Qualitätskontrolle \| Statistical quality control \| Aktienindex \| Stock index \| Schätzung \| Estimation \| Deutschland \| Germany \| Ungarn \| Hungary

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