Search Results - subject:"Kupiec test"

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Industry standard and econometric standard : the search for powerful approach to evaluate VaR models

Malecka, Marta - In: Argumenta oeconomica 46 (2021) 1, pp. 6-30

Persistent link: https://www.econbiz.de/10012622536

Estudio empírico sobre el tipo de cambio mxn/usd : movimiento browniano geométrico versus proceso varianza-gamma

Mosiño, Alejandro; Salomón-Núñez, Laura Andrea; … - In: EconoQuantum : Revista de Economía y Negocios 16 (2019) 1, pp. 33-56

Persistent link: https://www.econbiz.de/10012210445

Market risk of developed and developing countries during the global financial crisis

Köksal, Bülent; Orhan, Mehmet - Volkswirtschaftliche Fakultät, … - 2012

This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and developing countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

Persistent link: https://www.econbiz.de/10011107878

The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Agiakloglou, Christos; Agiropoulos, Charalampos - In: SPOUDAI - Journal of Economics and Business 61 (2011) 1/2, pp. 7-12

and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through …

Persistent link: https://www.econbiz.de/10010343124

The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Agiakloglou, Christos; Agiropoulos, Charalampos - In: SPOUDAI Journal of Economics and Business 61 (2011) 1-2, pp. 7-12

and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through …

Persistent link: https://www.econbiz.de/10010854580

The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Agiakloglou, Christos N.; Agiropoulos, Charalampos - In: Spoudai : journal of economics and business 61 (2011) 1/2, pp. 7-12

and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through …

Persistent link: https://www.econbiz.de/10010255282

The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey

Cifter, Atilla; Ozun, Alper - Volkswirtschaftliche Fakultät, … - 2007

-t distribution perform better based on %95 Cl out-of-sample forecasting Christoffersen test and Kupiec test. These results show that …

Persistent link: https://www.econbiz.de/10005786939