MARINELLI, CARLO; D'ADDONA, STEFANO; RACHEV, SVETLOZAR T. - In: International Journal of Theoretical and Applied … 10 (2007) 06, pp. 1043-1075
We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we test whether the sum–stability assumption or the max–stability assumption,...