Backtesting parametric value-at-risk with estimation risk
J. Carlos Escanciano; Jose Olmo
| Year of publication: |
2010
|
|---|---|
| Authors: | Escanciano, J. Carlos ; Olmo, Jose |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 28.2010, 1, p. 36-51
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| Subject: | Risikomaß | Risk measure | VAR-Modell | VAR model | Monte-Carlo-Simulation | Monte Carlo simulation | Basler Akkord | Basel Accord | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003992793