An Evaluation Framework for Alternative VaR Models
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- Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
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More about this item
Keywordsestimation risk; exchange rate positions; fat tail distributions; financial time series; GARCH; value-at-risk;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-18 (All new papers)
- NEP-CFN-2003-02-18 (Corporate Finance)
- NEP-ECM-2003-02-26 (Econometrics)
- NEP-FIN-2003-02-18 (Finance)
- NEP-FMK-2003-02-18 (Financial Markets)
- NEP-IFN-2003-02-18 (International Finance)
- NEP-RMG-2003-02-18 (Risk Management)
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