Frontiers in VaR forecasting and backtesting
Maria Rosa Nieto, Esther Ruiz
| Year of publication: |
April-June 2016
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|---|---|
| Authors: | Nieto, Maria Rosa ; Ruiz, Esther |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 474-501
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| Subject: | Backtesting | Extreme value theory | GARCH | Quantile | Risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Risikomanagement | Risk management | VAR-Modell | VAR model | Ausreißer | Outliers | Theorie | Theory | Risiko | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597163