Backtesting the evaluation of Value-at-Risk methods for exchange rates
Tomáš Mrkvička, Martina Krásnická, Ludvík Friebel, Tomáš Volek and Ladislav Rolínek
| Year of publication: |
2023
|
|---|---|
| Authors: | Mrkvička, Tomáš ; Krásnická, Martina ; Friebel, Ludvík ; Volek, Tomáš ; Rolínek, Ladislav |
| Published in: |
Studies in economics and finance. - Bingley : Emerald, ISSN 1755-6791, ZDB-ID 2070355-7. - Vol. 40.2023, 1, p. 175-191
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| Subject: | Extreme value theory | GARCH | Medium-term forecast | Nonparametric VaR | Random walk | Wechselkurs | Exchange rate | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Random Walk | VAR-Modell | VAR model | Ausreißer | Outliers | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/SEF-06-2021-0248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013503890