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Frontiers in VaR forecasting and backtesting

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorNieto Delfin, Maria Rosa
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2021-06-30T10:58:29Z
dc.date.available2021-06-30T10:58:29Z
dc.date.issued2016-04
dc.description.abstractThe interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.en
dc.description.sponsorshipFinancial support from Project ECO2012-32401 by the Spanish Government is gratefully acknowledged by the second author. We are also grateful to the Editor Rob Hyndman for his support and to three anonymous reviewers for their detailed and constructive comments.en
dc.format.extent27
dc.identifier.bibliographicCitationNieto, M. R. & Ruiz, E. (2016). Frontiers in VaR forecasting and backtesting. International Journal of Forecasting, 32(2), pp. 475–501.en
dc.identifier.doihttps://doi.org/10.1016/j.ijforecast.2015.08.003
dc.identifier.issn0169-2070
dc.identifier.publicationfirstpage475
dc.identifier.publicationissue2
dc.identifier.publicationlastpage501
dc.identifier.publicationtitleInternational Journal of Forecastingen
dc.identifier.publicationvolume32
dc.identifier.urihttps://hdl.handle.net/10016/32962
dc.identifier.uxxiAR/0000018642
dc.language.isoeng
dc.publisherElsevieren
dc.relation.projectIDGobierno de España. ECO2012-32401es
dc.rights© 2015 International Institute of Forecasters.en
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEstadísticaes
dc.subject.otherBacktestingen
dc.subject.otherExtreme value theoryen
dc.subject.otherGarchen
dc.subject.otherQuantileen
dc.subject.otherRisken
dc.titleFrontiers in VaR forecasting and backtestingen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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