Using the extremal index for value-at-risk backtesting

SFB 823 ; Axel Bücher, Peter N. Posch, Philipp Schmidtke

Year of publication:	[2018]
Authors:	Bücher, Axel ; Posch, Peter N. ; Schmidtke, Philipp
Institutions:	Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes (issuing body)
Publisher:	[Dortmund] : SFB 823
Subject:	VaR Backtesting \| Extremal Index \| Independence \| Risk measures \| Risikomaß \| Risk measure \| Index \| Index number \| Messung \| Measurement \| Risiko \| Risk \| Statistischer Test \| Statistical test \| Ausreißer \| Outliers \| Schätzung \| Estimation \| Risikomanagement \| Risk management \| VAR-Modell \| VAR model \| Prognoseverfahren \| Forecasting model

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