Evaluation of backtesting techniques on risk models with different horizons
Grigorios Kontaxis and Ioannis E. Tsolas
| Year of publication: |
2021
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|---|---|
| Authors: | Kontaxis, Grigorios ; Tsolas, Ioannis E. |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 15.2021, 4, p. 29-50
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| Subject: | value-at-risk (VaR) | backtesting | efficient model selection | risk estimation | risk modeling | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomodell | Risk model | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2021.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013173367