Backtesting value-at-risk : from dynamic quantile to dynamic binary tests
Elena-Ivona Dumitrescu, Christophe Hurlin and Vinson Pham
| Year of publication: |
2012
|
|---|---|
| Authors: | Dumitrescu, Elena-Ivona ; Hurlin, Christophe ; Pham, Vinson |
| Published in: |
Finance : revue de l'Association Française de Finance. - Grenoble : Presses Universitaires de Grenoble, ISSN 0752-6180, ZDB-ID 614796-3. - Vol. 33.2012, 1, p. 79-112
|
| Subject: | Risikomaß | Risk measure | VAR-Modell | VAR model | Ökonometrisches Modell | Econometric model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zsfassung in franz. Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009656842