1. Eldorado
  2. Sonderforschungsbereiche
  3. Sonderforschungsbereich (SFB) 823
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKrämer, Walter-
dc.contributor.authorWied, Dominik-
dc.date.accessioned2015-06-29T12:16:15Z-
dc.date.available2015-06-29T12:16:15Z-
dc.date.issued2015-
dc.identifier.urihttp://hdl.handle.net/2003/34125-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7514-
dc.description.abstractWe 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.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;17/2015-
dc.subjectbacktestingen
dc.subjectvalue at risken
dc.subjectpoweren
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleA simple and focused backtest of value at risken
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_1715_SFB823_Krämer_Wied.pdfDNB277.11 kBAdobe PDFView/Open


This item is protected by original copyright

View License
Show simple item record


This item is protected by original copyright rightsstatements.org