A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war
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DOI: 10.1007/s11135-024-01866-1
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More about this item
Keywords
Spectral test; Value-at-risk; VaR test; Anderson–Darling statistic; Financial crisis;All these keywords.
JEL classification:
- 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
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
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