A dominance approach for comparing the performance of VaR forecasting models

DOI10.1007/s00180-020-00990-4zbMath1505.62153OpenAlexW3028099732MaRDI QIDQ2203429

Laura Garcia-Jorcano, Alfonso Novales

Publication date: 6 October 2020

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

Full work available at URL: https://eprints.ucm.es/57129/1/1923.pdf

zbMATH Keywords

dominanceforecast evaluationvalue at riskasymmetric distributionsbacktestingconditional volatility models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Backtesting extreme value theory models of expected shortfall

This page was built for publication: A dominance approach for comparing the performance of VaR forecasting models