Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Krämer, Walter | - |
dc.contributor.author | Wied, Dominik | - |
dc.date.accessioned | 2015-06-29T12:16:15Z | - |
dc.date.available | 2015-06-29T12:16:15Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34125 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7514 | - |
dc.description.abstract | We suggest a simple improvement of recent VaR-backtesting procedures based on time intervals between VaR-exceedances and show via Monte Carlo that our test has more power than its competitors against empirically relevant clustering alternatives. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;17/2015 | - |
dc.subject | backtesting | en |
dc.subject | value at risk | en |
dc.subject | power | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | A simple and focused backtest of value at risk | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1715_SFB823_Krämer_Wied.pdf | DNB | 277.11 kB | Adobe PDF | View/Open |
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This item is protected by original copyright
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