A simple and focused backtest of value at risk

DOI10.1016/J.ECONLET.2015.10.028zbMath1398.91687OpenAlexW1782262690MaRDI QIDQ1667928

Dominik Wied, Walter Kramer

Publication date: 31 August 2018

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

Full work available at URL: http://hdl.handle.net/2003/34125

zbMATH Keywords

powervalue at riskbacktesting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

A review of backtesting for value at risk ⋮ Asymptotic properties of duration-based VaR backtests

Cites Work

• Copula-MGARCH with continuous covariance decomposition

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