Robust Backtesting Tests for Value-at-Risk Models
Year of publication: |
2009
|
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Authors: | Escanciano, Juan Carlos ; Olmo, Jose |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätzung | Estimation | Risikomaß | Risk measure | Statistischer Test | Statistical test | Theorie | Theory | Robustes Verfahren | Robust statistics | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (32 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 21, 2008 erstellt |
Other identifiers: | 10.2139/ssrn.1305253 [DOI] |
Classification: | C52 - Model Evaluation and Testing ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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