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Search: subject:"exponential autoregressive conditional duration"
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VaR backtesting
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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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Małecka, Marta
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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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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
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
2
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
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
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