Backtesting portfolio value‐at‐risk with estimated portfolio weights
From MaRDI portal
Recommendations
- Backtesting Parametric Value-at-Risk With Estimation Risk
- A simple and focused backtest of value at risk
- Estimating and backtesting risk under heavy tails
- A review of backtesting for value at risk
- Estimating allocations for value-at-risk portfolio optimization
- Backtesting aggregate risk
- Backtesting value-at-risk: a generalized Markov test
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
- Value-at-risk based portfolio optimization
Cites work
- A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
- Asymptotic Inference about Predictive Ability
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Estimation-adjusted VaR
- scientific article; zbMATH DE number 1777932 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Quadratic ARCH Models
- Risk-parameter estimation in volatility models
- Robust out-of-sample inference
- Volatility and Links between National Stock Markets
Cited in
(4)
This page was built for publication: Backtesting portfolio value‐at‐risk with estimated portfolio weights
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5135314)
