Backtesting the evaluation of Value-at-Risk methods for exchange rates
Year of publication: |
2023
|
---|---|
Authors: | Mrkvička, Tomáš ; Krásnická, Martina ; Friebel, Ludvík ; Volek, Tomáš ; Rolínek, Ladislav |
Published in: |
Studies in economics and finance. - Bingley : Emerald, ISSN 1755-6791, ZDB-ID 2070355-7. - Vol. 40.2023, 1, p. 175-191
|
Subject: | Extreme value theory | GARCH | Medium-term forecast | Nonparametric VaR | Random walk | Wechselkurs | Exchange rate | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Random Walk | Nichtparametrisches Verfahren | Nonparametric statistics | Ausreißer | Outliers | VAR-Modell | VAR model | Statistischer Test | Statistical test |
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