Real-time assessment of value-at-risk and volatility accuracy (Q864231)
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scientific article; zbMATH DE number 5125049
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Real-time assessment of value-at-risk and volatility accuracy |
scientific article; zbMATH DE number 5125049 |
Statements
Real-time assessment of value-at-risk and volatility accuracy (English)
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13 February 2007
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CUSUM
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density forecast assessment
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Kullback information
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likelihood ratio
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probability integral transformation
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sequential testing
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statistical process control
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