Comparison of value-at-risk models using the MCS approach (Q736648)

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Comparison of value-at-risk models using the MCS approach
scientific article

    Statements

    title
    Comparison of value-at-risk models using the MCS approach (English)
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    author
    Mauro Bernardi
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    Leopoldo Catania
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    publication date
    4 August 2016
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    zbMATH Keywords
    hypothesis testing
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    model confidence set
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    value-at-risk
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    VaR combination
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    ARCH
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    GAS
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    CAViaR models
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    describes a project that uses
    CAViaR
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    R
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    CRAN
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    MCS
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    MSC
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    DySco
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    cites work
    Regression Quantiles
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    Q3099631
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    Q5538617
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    Q3922034
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    Q5445942
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    Identifiers

    Mathematics Subject Classification ID
    62-08
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    62P05
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    62M10
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    91G70
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    zbMATH DE Number
    6609287
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    OpenAlex ID
    W2285445848
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