Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Arturo Leccadito; Simona Boffelli; Giovanni Urga
| Year of publication: |
2014
|
|---|---|
| Authors: | Leccadito, Arturo ; Boffelli, Simona ; Urga, Giovanni |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2014, 2, p. 206-216
|
| Subject: | Risk management | Value-at-risk | Backtesting | Conditional and unconditional coverage tests | Monte Carlo | Risikomanagement | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Theorie | Theory |
| 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/10010510949