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

by Laurent̜iu Mihailescu
Year of publication:
2004
Authors: Mihailescu, Laurent̜iu
Published in:
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society. - Heidelberg : Physica-Verl., ISSN 0002-6018, ZDB-ID 442-X. - Vol. 88.2004, 1, p. 51-72
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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