Testing and Comparing Value-at-Risk Measures
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More about this item
KeywordsRisk management; volatility; nonnested testing; options; model risk; Gestion des risques; volatilité; tests non emboîtés; options; risque modèle;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2001-02-14 (Econometrics)
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