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On the appropriateness of inappropriate VaR models

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  • Wolfgang Härdle
  • Zdeněk Hlávka
  • Gerhard Stahl

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Suggested Citation

  • Wolfgang Härdle & Zdeněk Hlávka & Gerhard Stahl, 2006. "On the appropriateness of inappropriate VaR models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(2), pages 273-297, June.
    • Handle: RePEc:spr:alstar:v:90:y:2006:i:2:p:273-297
    DOI: 10.1007/s10182-006-0234-0
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    References listed on IDEAS

    as
    1. Murphy, Allan H. & Winkler, Robert L., 1992. "Diagnostic verification of probability forecasts," International Journal of Forecasting, Elsevier, vol. 7(4), pages 435-455, March.
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    More about this item

    Keywords

    Value-at-Risk; market index model; principal components; random effects model; probability forecast; JEL C51; C52; G20;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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