Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device

DOI10.1016/j.econlet.2009.03.008zbMath1178.91080OpenAlexW2074589781MaRDI QIDQ1046189

Helmut Herwartz

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/27671

zbMATH Keywords

value-at-riskMonte Carlo test

Mathematics Subject Classification ID

Uses Software

• CAViaR

Cites Work

• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics

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