Universität zu Köln

Kraemer, Walter and Wied, Dominik (2015). A simple and focused backtest of value at risk. Econ. Lett., 137. S. 29 - 32. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1873-7374

Full text not available from this repository.

Abstract

We suggest a simple improvement of recent VaR-backtesting procedures based on time intervals between VaR-violations and show via Monte Carlo that our test has more power than its competitors against various empirically relevant clustering alternatives. (C) 2015 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Kraemer, Walter UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-385893
DOI:	10.1016/j.econlet.2015.10.028
Journal or Publication Title:	Econ. Lett.
Volume:	137
Page Range:	S. 29 - 32
Date:	2015
Publisher:	ELSEVIER SCIENCE SA
Place of Publication:	LAUSANNE
ISSN:	1873-7374
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language VALUE-AT-RISK; FORECASTS Multiple languages Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/38589