Agiakloglou, Christos N.; Agiropoulos, Charalampos - In: Spoudai : journal of economics and business 61 (2011) 1/2, pp. 7-12
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.