A sequential method for the evaluation of the VaR model based on the run between exceed\-ances
type: Item
instance of: scholarly article
title: A sequential method for the evaluation of the VaR model based on the run between exceed\-ances
zbMATH Open document ID: 1083.62093
author: Laurenţiu Mihailescu
published in: AStA. Allgemeines Statistisches Archiv
publication date: 2006-03-28T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P30
Mathematics Subject Classification ID: 62L10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5015830
zbMATH Keywords: value-at-risk
zbMATH Keywords: backtesting
zbMATH Keywords: sequential control
zbMATH Keywords: CUSUM charts
zbMATH Keywords: Shewhart chart
zbMATH Keywords: GARCH processes
MaRDI profile type: Publication
full work available at URL: s101820400159
OpenAlex ID: W24984638
DOI: 10.1007/S101820400159
description: scientific article; zbMATH DE number 5015830