Backtesting VaR under the COVID-19 sudden changes in volatility
Brenda Castillo, Ángel León, Trino-Manuel Ñíguez
| Year of publication: |
2021
|
|---|---|
| Authors: | Castillo, Brenda ; León Valle, Ángel Manuel ; Ñíguez, Trino-Manuel |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 43.2021, p. 1-9
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| Subject: | Backtesting | EGARCH | Monte Carlo | Skewed-t | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | Coronavirus | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014633484