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Search: subject:"VaR backtesting"
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Risikomaß
3
Risk measure
3
VAR model
3
VAR-Modell
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VaR backtesting
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2
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boundary of the parameter space
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exponential autoregressive conditional duration
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test power
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
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Statistics in Transition New Series
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Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
2
Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
regulations, we address the issue of
VaR
backtesting
and contribute to the debate by exploring statistical properties of the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
3
Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
regulations, we address the issue of
VaR
backtesting
and contribute to the debate by exploring statistical properties of the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
4
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
-
Sonderforschungsbereich Statistical Modelling of …
-
2018
Persistent link: https://www.econbiz.de/10011921089
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