Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model
Year of publication: |
2021
|
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Authors: | Małecka, Marta |
Published in: |
Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland. - Warszawa : GUS, ISSN 2450-0291, ZDB-ID 2235641-1. - Vol. 22.2021, 1, p. 145-162
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Subject: | VaR backtesting | exponential autoregressive conditional duration | boundary of the parameter space | test size | test power | Schätzung | Estimation | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis | Dauer | Duration | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.21307/stattrans-2021-008 [DOI] hdl:10419/236820 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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