Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Year of publication: |
2014
|
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Authors: | Leccadito, Arturo ; Boffelli, Simona ; Urga, Giovanni |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2014, 2, p. 206-216
|
Subject: | Risk management | Value-at-risk | Backtesting | Conditional and unconditional coverage tests | Monte Carlo | Risikomanagement | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution |
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