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

DOI10.1007/S00180-016-0646-6MaRDI QIDQ736648zbMATHOpenAlexFDO

Authors Mauro Bernardi, Leopoldo Catania

Publication date 4 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-016-0646-6

zbMATH Keywords

GAShypothesis testingmodel confidence setvalue-at-riskARCHCAViaR modelsVaR combination

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 5984103 (Why is no real title available?)
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• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
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Cited in

(3)

• How hard is it to pick the right model? MCS and backtest overfitting
• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Forecasting volatility returns of oil price using gene expression programming approach.

Describes a project that uses

Uses Software

• R
• MCS
• CRAN
• CAViaR
• MSC
• DySco

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