The geometric-VaR backtesting method
Denis Pelletier and Wei Wei
| Year of publication: |
2016
|
|---|---|
| Authors: | Pelletier, Denis ; Wei, Wei |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 725-745
|
| Subject: | risk management | backtesting | volatility | duration | value at risk | Risikomaß | Risk measure | Volatilität | Volatility | Risikomanagement | Risk management | Statistischer Test | Statistical test | Schätzung | Estimation | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbv015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623861