A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
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Volume (Year): 25 (2010)
Issue (Month): 4 (December)
Pages: 725-732
| Handle: | RePEc:spr:compst:v:25:y:2010:i:4:p:725-732 |
| DOI: | 10.1007/s00180-010-0194-4 |
| Contact details of provider: | Web page: http://www.springer.com
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| Order Information: | Web: http://www.springer.com/statistics/journal/180/PS2 |
References listed on IDEAS
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- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
- Herwartz, H. & Xu, F., 2009.
"A new approach to bootstrap inference in functional coefficient models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 53(6), pages 2155-2167, April.
- Herwartz, Helmut & Xu, Fang, 2007. "A new approach to bootstrap inference in functional coefficient models," Economics Working Papers 2007,15, Christian-Albrechts-University of Kiel, Department of Economics.
- Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
- Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, 05.
- Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers wp04-04, Warwick Business School, Finance Group.
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