Rimarčík, Marián - In: Politická ekonomie 2005 (2005) 3, pp. 323-336
In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated …-covariance method for VaR estimation were investigated. Performance of all approaches was evaluated using seven performance criteria … volatility. It also achieves perfect coverage (95 %) and the highest correlation between risk measure and absolute value of the …
