Asymptotic properties of duration-based VaR backtests (Q2093055)
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scientific article; zbMATH DE number 7612251
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic properties of duration-based VaR backtests |
scientific article; zbMATH DE number 7612251 |
Statements
Asymptotic properties of duration-based VaR backtests (English)
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4 November 2022
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VaR test
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geometric test
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geometric-VaR test
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Gini coefficient
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test size
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test power
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0.8537726
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0.85016555
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0.84764946
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0.8462827
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0.84567773
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0.8441169
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0.8434481
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0.84308636
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