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

Does G7 engross the shock of COVID 19 : an assessment with market volatility?

Das, Nupur Moni; Rout, Bhabani Sankar; Khatun, Yashmin - In: Asia Pacific financial markets 30 (2023) 4, pp. 795-816

Persistent link: https://www.econbiz.de/10014391965

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

Regularized quantile regression averaging for probabilistic electricity price forecasting

Uniejewski, Bartosz; Weron, Rafał - In: Energy economics 95 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012816620

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

Value-at-risk estimation of gold market with stable generalised hyperbolic distributions

Chinhamu, Knowledge; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 508-512

Persistent link: https://www.econbiz.de/10011795972

Backtesting VaR models : the case of commodities

Shankar, Devesh; Bedi, Prateek; Agnihotri, Shalini; … - In: Business analyst : a refereed journal of Shri Ram … 38 (2017) 1, pp. 36-57

Persistent link: https://www.econbiz.de/10012212962

GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange

Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498

Persistent link: https://www.econbiz.de/10012223947

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