Robust Value at Risk Prediction : Appendix

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends the empirical analysis on backtesting. Notation is the same as in Mancini and Trojani (2010)

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Year of publication:	2010
Authors:	Mancini, Loriano
Other Persons:	Trojani, Fabio (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Panel \| Panel study \| Schätzung \| Estimation \| Welt \| World \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Simulation \| ARCH-Modell \| ARCH model

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