Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Year of publication: |
2017
|
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Authors: | Mozumder, Sharif ; Dempsey, Michael ; Kabir, M. Humayun |
Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 18.2017, 1, p. 88-118
|
Subject: | Value-at-Risk | Back-testing | Extreme value | Generalized hyperbolic distributions | Lévy–Kintchine formula | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation |
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