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Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Arturo Leccadito, Simona Boffelli and Giovanni Urga
Year of publication:
2013
Authors: Leccadito, Arturo ; Boffelli, Simona ; Urga, Giovanni
Publisher: London : CEA, Cass Business School
Subject: Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Prognose | Forecast | Statistischer Test | Statistical test | Monte-Carlo-Simulation | Monte Carlo simulation
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