Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Sharif Mozumder, Michael Dempsey and M. Humayun Kabir
| 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
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| Subject: | Value-at-Risk | Back-testing | Extreme value | Generalized hyperbolic distributions | Lévy–Kintchine formula | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JRF-03-2016-0029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011653721