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An evaluation framework for alternative VaR-models

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Author Info
Bams, Dennis
Lehnert, Thorsten
Wolff, Christian C.P.
Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V9S-4GJK823-1/2/3b2b7d88ecb5e4dc408b5c4429629d7e
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 24 (2005)
Issue (Month): 6 (October)
Pages: 944-958
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Handle: RePEc:eee:jimfin:v:24:y:2005:i:6:p:944-958

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
  2. Christoph Hartz & Stefan Mittnik & Marc S. Paolella, 2006. "Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model," CFS Working Paper Series 2006/23, Center for Financial Studies. [Downloadable!]
  3. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
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This page was last updated on 2008-10-11.

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