Using the extremal index for value-at-risk backtesting
Axel Bücher, Peter N. Posch and Philipp Schmidtke
| Year of publication: |
2020
|
|---|---|
| Authors: | Bücher, Axel ; Posch, Peter N. ; Schmidtke, Philipp |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 3, p. 556-584
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012316700