The Geometric-VaR Backtesting Method
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012.
"Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests,"
Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
- Elena Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Post-Print hal-01385901, HAL.
- Bontemps, Christian, 2014. "Simple moment-based tests for value-at-risk models and discrete distribution," TSE Working Papers 14-535, Toulouse School of Economics (TSE).
- Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-679, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
- Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
- Taylor, James W., 2020. "A strategic predictive distribution for tests of probabilistic calibration," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1380-1388.
- Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
- S. M. Masrur Ahmed, 2023. "Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis," Papers 2309.09094, arXiv.org, revised Sep 2023.
- Marta Małecka, 2021. "Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 145-162, March.
- Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.
- Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Wei, Yu & Kong, Mengzhen, 2024. "Does mixed frequency variables help to forecast value at risk in the crude oil market?," Resources Policy, Elsevier, vol. 88(C).
- Marta Małecka, 2024. "New runs‐based approach to testing value at risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2021-2041, September.
- Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
- Argyropoulos, Christos & Panopoulou, Ekaterini, 2019. "Backtesting VaR and ES under the magnifying glass," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 22-37.
- Małecka Marta, 2021. "Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model," Statistics in Transition New Series, Statistics Poland, vol. 22(1), pages 145-162, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Renneboog, L.D.R. & Simons, T., 2005.
"Public-to-Private Transactions : LBOs, MBOs, MBIs and IBOs,"
Other publications TiSEM
3b76799c-591c-4d22-b126-a, Tilburg University, School of Economics and Management.
- Renneboog, L.D.R. & Simons, T., 2005. "Public-to-Private Transactions : LBOs, MBOs, MBIs and IBOs," Other publications TiSEM cc5ad867-76a9-43ab-b903-3, Tilburg University, School of Economics and Management.
- Renneboog, L.D.R. & Simons, T., 2005. "Public-to-Private Transactions : LBOs, MBOs, MBIs and IBOs," Discussion Paper 2005-98, Tilburg University, Center for Economic Research.
- Renneboog, L.D.R. & Simons, T., 2005. "Public-to-Private Transactions : LBOs, MBOs, MBIs and IBOs," Discussion Paper 2005-023, Tilburg University, Tilburg Law and Economic Center.
- de Walque, Damien, 2007.
"How does the impact of an HIV/AIDS information campaign vary with educational attainment? Evidence from rural Uganda,"
Journal of Development Economics, Elsevier, vol. 84(2), pages 686-714, November.
- De Walque, Damien, 2004. "How does the impact of an HIV/AIDS information campaign vary with educational attainment ? Evidence from rural Uganda," Policy Research Working Paper Series 3289, The World Bank.
- Daron Acemoglu & Amy Finkelstein, 2008.
"Input and Technology Choices in Regulated Industries: Evidence from the Health Care Sector,"
Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 837-880, October.
- Daron Acemoglu & Amy Finkelstein, 2006. "Input and Technology Choices in Regulated Industries: Evidence From the Health Care Sector," NBER Working Papers 12254, National Bureau of Economic Research, Inc.
- Dionne, Georges, 1998.
"La mesure empirique des problèmes d’information,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(4), pages 585-606, décembre.
- Dionne, G., 1998. "La mesure empirique des problemes d'information," Papers 9833, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- G. Dionne, 1998. "La mesure empirique des problèmes d'information," THEMA Working Papers 98-33, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Dionne, Georges, 1998. "La mesure empirique des problèmes d'information," Working Papers 98-16, HEC Montreal, Canada Research Chair in Risk Management.
- Guiso, Luigi & Jappelli, Tullio, 2002.
"Private Transfers, Borrowing Constraints and the Timing of Homeownership,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 315-339, May.
- Guiso, Luigi & Jappelli, Tullio, 1998. "Private Transfers, Borrowing Constraints and the Timing of Homeownership," CEPR Discussion Papers 2050, C.E.P.R. Discussion Papers.
- Luigi Guiso & Tullio Jappelli, 1999. "Private Transfers, Borrowing Constraints and the Timing of Homeownership," CSEF Working Papers 17, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Nachum Sicherman, 1996.
"Gender Differences in Departures from a Large Firm,"
ILR Review, Cornell University, ILR School, vol. 49(3), pages 484-505, April.
- Nachum Sicherman, 1993. "Gender Differences in Departure from a Large Firm," NBER Working Papers 4279, National Bureau of Economic Research, Inc.
- Blackman, Allen & Guerrero, Santiago, 2012.
"What drives voluntary eco-certification in Mexico?,"
Journal of Comparative Economics, Elsevier, vol. 40(2), pages 256-268.
- Blackman, Allen & Guerrero, Santiago, 2010. "What Drives Voluntary Eco-Certification in Mexico?," RFF Working Paper Series dp-10-26, Resources for the Future.
- Burton, Michael P. & Rigby, Dan & Young, Trevor, 2003.
"Modelling the adoption of organic horticultural technology in the UK using Duration Analysis,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(01), pages 1-26, March.
- Michael Burton & Dan Rigby & Trevor Young, 2003. "Modelling the adoption of organic horticultural technology in the UK using Duration Analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(1), pages 29-54, March.
- Joseph Mason, 2001. "Do Lender of Last Resort Policies Matter? The Effects of Reconstruction Finance Corporation Assistance to Banks During the Great Depression," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(1), pages 77-95, September.
- Edward B. Barbier, 2016. "The Protective Value of Estuarine and Coastal Ecosystem Services in a Wealth Accounting Framework," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 64(1), pages 37-58, May.
- David Gray & Gilles Grenier, 1998.
"Jobless Durations of Displaced Workers: A Comparison of Canada and the United States,"
Canadian Public Policy, University of Toronto Press, vol. 24(s1), pages 152-169, February.
- Gray, D. & Grenier, G., 1993. "Jobless Durations of Dispplaced Workers: A Comparison of Canada and United States," Working Papers 9315e, University of Ottawa, Department of Economics.
- Baele, Lieven & Farooq, Moazzam & Ongena, Steven, 2014.
"Of religion and redemption: Evidence from default on Islamic loans,"
Journal of Banking & Finance, Elsevier, vol. 44(C), pages 141-159.
- Ongena, Steven & Baele, Lieven & Farooq, Moazzam, 2011. "Of Religion and Redemption: Evidence from Default on Islamic Loans," CEPR Discussion Papers 8504, C.E.P.R. Discussion Papers.
- Baele, L.T.M. & Farooq, Moazzam & Ongena, S.R.G., 2014. "Of religion and redemption : Evidence from default on Islamic loans," Other publications TiSEM b5dfdcea-ddd7-425f-8618-8, Tilburg University, School of Economics and Management.
- Mohammad Karimi & Marcel‐Cristian Voia, 2019.
"Empirics of currency crises: A duration analysis approach,"
Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 428-449, July.
- Mohammad Karimi & Marcel-Cristian Voia, 2011. "Empirics of Currency Crises: A Duration Analysis Approach," Carleton Economic Papers 11-11, Carleton University, Department of Economics.
- Mohammad Karimi & Marcel-Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Post-Print hal-03528952, HAL.
- Ira N. Gang & Thomas Bauer, 2000. "Return Migrants From Egypt: How Long Did They Stay Abroad?," Departmental Working Papers 199811, Rutgers University, Department of Economics.
- Vygodina, Anna V. & Zorn, Thomas S. & DeFusco, Richard, 2008. "Asymmetry in the effects of economic fundamentals on rising and falling exchange rates," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 728-746, September.
- Per Botolf Maurseth, 2005. "Lovely but dangerous: The impact of patent citations on patent renewal," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(5), pages 351-374.
- Ando, Amy, 1998.
"Delay on the Path to the Endangered Species List: Do Costs and Benefits Matter,"
RFF Working Paper Series
dp-97-43-rev, Resources for the Future.
- Ando, Amy Whritenour, 1999. "Delay on the Path to the Endangered Species List: Do Costs and Benefits Matter?," Discussion Papers 10564, Resources for the Future.
- Emi Nakamura & Jón Steinsson, 2013.
"Price Rigidity: Microeconomic Evidence and Macroeconomic Implications,"
Annual Review of Economics, Annual Reviews, vol. 5(1), pages 133-163, May.
- Emi Nakamura & Jón Steinsson, 2013. "Price Rigidity: Microeconomic Evidence and Macroeconomic Implications," NBER Working Papers 18705, National Bureau of Economic Research, Inc.
- Mô José Moral & Jordi Jaumandreu, "undated". "Automobile demand, model cycle and price effects," Studies on the Spanish Economy 64, FEDEA.
- Castro, Vítor, 2010.
"The duration of economic expansions and recessions: More than duration dependence,"
Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
- Castro, Vitor, 2008. "The duration of economic expansions and recessions: More than duration dependence," Economic Research Papers 269858, University of Warwick - Department of Economics.
- Castro, Vítor, 2008. "The duration of economic expansions and recessions : More than duration dependence," The Warwick Economics Research Paper Series (TWERPS) 860, University of Warwick, Department of Economics.
- Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:14:y:2016:i:4:p:725-745.. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sofieea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.