On the appropriateness of inappropriate VaR models
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DOI: 10.1007/s10182-006-0234-0
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References listed on IDEAS
- Murphy, Allan H. & Winkler, Robert L., 1992. "Diagnostic verification of probability forecasts," International Journal of Forecasting, Elsevier, vol. 7(4), pages 435-455, March.
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More about this item
Keywords
Value-at-Risk; market index model; principal components; random effects model; probability forecast; JEL C51; C52; G20;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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