Estimation risk effects on backtesting for parametric value-at-risk models

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Escanciano, J. C. ; Olmo, J. (2007)
  • Publisher: Department of Economics, City University London
  • Subject: HB
  • References (10)

    0.25 1 α)( 0.2 − f(F ε 0.15

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    Delgado, M.A. and Escanciano, J.C. (2006): \Nonparametric tests for conditional symmetry in dynamic models", forthcoming in Journal of Econometrics.

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    Engle, R., Kroner, K. (1995): \Multivariate Simulataneous GARCH. "Econometric Theory, 11, 122-150.

    Engle, R., Manganelli, S. (2004): \CAViaR: Conditional autoregressive Value-at-Risk by Regression quantiles. "Journal of Business and Economic Statistics, 22, 367-381.

    Engle, R. (2002): \Dynamic Conditional Correlation- A Simple Class of Multivariate GARCH Models. "Journal of Business and Economic Statistics, 20, 339-350.

    Shorack, G.R., Wellner, J.A. (1986): Empirical Processes with Applications to Statistics. New York: Wiley.

    Van der Vaart, A.W. and Wellner, J.A. (1996): Weak Convergence and Empirical Processes: New York, Springer.

    Wu,W.B. (2005): \On the Bahadur representation of sample quantiles for dependent sequences." Annals of Statistics, 33, 1934{1963

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