Goodness-of-fit Tests focus on VaR Estimation
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Bibliographic InfoPaper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_55.
Date of creation: Oct 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-ECM-2003-10-20 (Econometrics)
- NEP-ETS-2003-10-20 (Econometric Time Series)
- NEP-FIN-2003-10-20 (Finance)
- NEP-RMG-2003-10-20 (Risk Management)
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- Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 58-70.
- Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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