Backtesting value-at-risk : a GMM duration-based test
Bertrand Candelon; Gilbert Colletaz; Christophe Hurlin; Sessi Tokpavi
| Year of publication: |
2011
|
|---|---|
| Authors: | Candelon, Bertrand ; Colletaz, Gilbert ; Hurlin, Christophe ; Tokpavi, Sessi |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 9.2011, 2, p. 314-343
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| Subject: | Theorie | Theory | Risikomaß | Risk measure | Momentenmethode | Method of moments | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009125123