Evaluating the accuracy of value-at-risk forecasts: New multilevel tests

International Journal of Forecasting

Volumn 30, Issue 2, 2014, Pages 206-216

  Leccadito, Arturo ^a   Boffelli, Simona ^b   Urga, Giovanni ^b,c  

^a UNIVERSITY OF CALABRIA   (Italy)

^b UNIVERSITY OF BERGAMO   (Italy)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Backtesting; Conditional and unconditional coverage tests; Monte Carlo; Risk management; Value at risk

Indexed keywords

EID: 84890090733     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2013.07.014     Document Type: Article

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