Şener, Emrah; Baronyan, Sayad; Ali Mengütürk, Levent - In: International Journal of Forecasting 28 (2012) 4, pp. 849-873
We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The period including the recent credit crisis offers a unique laboratory for the...