Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bücher, Axel | - |
dc.contributor.author | Posch, Peter N. | - |
dc.contributor.author | Schmidtke, Philipp | - |
dc.date.accessioned | 2018-10-19T14:45:07Z | - |
dc.date.available | 2018-10-19T14:45:07Z | - |
dc.date.issued | 2018 | - |
dc.identifier.uri | http://hdl.handle.net/2003/37201 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-19196 | - |
dc.description.abstract | We introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences. We introduce a sequence of relative excess returns whose extremal index has to be estimated. We compare our backtest to both popular and recent competitors using Monte-Carlo simulations and find considerable power in many scenarios. In an applied section we perform realistic out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls of our approach. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;24/2018 | - |
dc.subject | VaR backtesting | en |
dc.subject | risk measures | en |
dc.subject | independence | en |
dc.subject | extremal index | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Using the extremal index for value-at-risk backtesting | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dc.subject.rswk | Value at Risk | de |
dc.subject.rswk | Statistischer Test | de |
dc.subject.rswk | Schätzverfahren | de |
dc.subject.rswk | Extremwertstatistik | de |
dcterms.accessRights | open access | - |
eldorado.secondarypublication | false | de |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2518_Bücher_Posch_Schmidtke.pdf | DNB | 425.4 kB | Adobe PDF | View/Open |
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