A review of backtesting for value at risk. Issue 15 (3rd August 2018)
- Record Type:
- Journal Article
- Title:
- A review of backtesting for value at risk. Issue 15 (3rd August 2018)
- Main Title:
- A review of backtesting for value at risk
- Authors:
- Zhang, Y.
Nadarajah, S. - Abstract:
- ABSTRACT: There have been many backtesting methods proposed for value at risk. Yet they have rarely been applied in practice. Here, we provide a comprehensive review of all of the recent backtesting methods for VaR. This review could encourage applications and also the development of further backtesting methods.
- Is Part Of:
- Communications in statistics. Volume 47:Issue 15(2018)
- Journal:
- Communications in statistics
- Issue:
- Volume 47:Issue 15(2018)
- Issue Display:
- Volume 47, Issue 15 (2018)
- Year:
- 2018
- Volume:
- 47
- Issue:
- 15
- Issue Sort Value:
- 2018-0047-0015-0000
- Page Start:
- 3616
- Page End:
- 3639
- Publication Date:
- 2018-08-03
- Subjects:
- Coverage -- likelihood ratio -- violation.
62E99
Mathematical statistics -- Periodicals
Mathematics
Statistics
519.2 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/03610926.2017.1361984 ↗
- Languages:
- English
- ISSNs:
- 0361-0926
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3363.432000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 6431.xml