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Goodness-of-fit Tests focus on VaR Estimation

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  • Fajardo, J.
  • Farias, A. R
  • Ornelas, J. R. H

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  • Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    • Handle: RePEc:ibm:finlab:flwp_55
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    Cited by:

    1. Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 58-70.
    2. Gilles Zumbach, 2020. "Tile test for back-testing risk evaluation," Papers 2007.12431, arXiv.org.
    3. 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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