Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model
Year of publication: |
2021
|
---|---|
Authors: | Małecka, Marta |
Published in: |
Statistics in Transition New Series. - New York : Exeley, ISSN 2450-0291. - Vol. 22.2021, 1, p. 145-162
|
Publisher: |
New York : Exeley |
Subject: | VaR backtesting | exponential autoregressive conditional duration | boundary of the parameter space | test size | test power |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.21307/stattrans-2021-008 [DOI] 1751874834 [GVK] hdl:10419/236820 [Handle] RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162 [RePEc] |
Source: |
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