Asymptotic properties of duration-based VaR backtests

DOI10.1515/STRM-2021-0019OpenAlexW4286111523MaRDI QIDQ2093055

Marta Malecka

Publication date: 4 November 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2021-0019

zbMATH Keywords

Gini coefficienttest powertest sizegeometric testgeometric-VaR testVaR test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Stochastic models in economics (91B70) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• CAViaR

Cites Work

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