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Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

exponential autoregressive conditional duration (EACD) VaR test. We show that, under the null, the tested parameter lies at the … from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel … regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the …

Persistent link: https://www.econbiz.de/10012487146

An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

Bayesian mixed frequency VARs

Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721

Persistent link: https://www.econbiz.de/10011339252

Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index

Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187

Persistent link: https://www.econbiz.de/10011888169

Testing for changes in (extreme) VaR

Hoga, Yannick - In: The econometrics journal 20 (2017) 1, pp. 23-51

Persistent link: https://www.econbiz.de/10011719962

Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133

Persistent link: https://www.econbiz.de/10011663878

Robust value-at-risk forecasting of Karachi Stock Exchange

Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146

Persistent link: https://www.econbiz.de/10011748632

A consistent specification test for dynamic quantile models

Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 125-151

‐at‐Risk (VaR). We use the proposed new test to study the VaR and CoVaR (Adrian and Brunnermeier (2016)) of a collection of US …

Persistent link: https://www.econbiz.de/10012807744

Econometric analysis of financial count data and portfolio choice : a dynamic approach

Rengifo, Erick W. - 2005

Persistent link: https://www.econbiz.de/10003987160

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296