Backtesting and estimation error : value-at-risk overviolation rate
Georges Tsafack, James Cataldo
| Year of publication: |
2021
|
|---|---|
| Authors: | Tsafack, Georges ; Cataldo, James M. |
| Subject: | Risk management | Value-at-risk | Forecasting | Backtesting | Estimation error | Risikomaß | Risk measure | Risikomanagement | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistischer Fehler | Statistical error | Statistischer Test | Statistical test | Schätzung | Estimation | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-020-01905-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616952