A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis

DOI10.1007/s00180-010-0194-4zbMath1226.91026OpenAlexW2015970847MaRDI QIDQ650729

Helmut Herwartz, Israel Waichman

Publication date: 26 November 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-010-0194-4

zbMATH Keywords

bootstrapvalue-at-riskMonte Carlo testdynamic quantile 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
• A new approach to bootstrap inference in functional coefficient models
• Jackknife, bootstrap and other resampling methods in regression analysis

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