RT Journal Article
T1 Frontiers in VaR forecasting and backtesting
A1 Nieto Delfin, Maria Rosa
A1 Ruiz Ortega, Esther
AB The 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.
PB Elsevier
SN 0169-2070
YR 2016
FD 2016-04
LK https://hdl.handle.net/10016/32962
UL https://hdl.handle.net/10016/32962
LA eng
NO Financial 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.
DS e-Archivo
RD 17 jul. 2024