Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008
exhibits a strong performance in calculating out–of–sample Value–at–Risk measures.
JEL Classification: C32, C51, G10, G11 …–of–sample predictive densities,
which is important for risk management applications such as the computation of Value–at–
Risk. A finite …, including the computation and backtesting of out–of–sample measures of
Value–at–Risk.
The paper is organized as follows. In …