New runs‐based approach to testing value at risk forecasts

Article Properties
  • Language
    English
  • DOI (url)
    10.1002/for.3115
  • Publication Date
    2024/03/08
  • Journal
    Journal of Forecasting
  • Indian UGC (journal)
  • Refrences
    32
  • Marta Małecka Faculty of Economics and Sociology University of Lodz Lodz PolandFaculty of Finance and Accounting Prague University of Economics and Business Prague Czech Republic ORCID (unauthenticated)
Abstract
Cite
Małecka, Marta. “New runs‐based Approach to Testing Value at Risk Forecasts”. Journal of Forecasting, 2024, https://doi.org/10.1002/for.3115.
Małecka, M. (2024). New runs‐based approach to testing value at risk forecasts. Journal of Forecasting. https://doi.org/10.1002/for.3115
Małecka, Marta. “New runs‐based Approach to Testing Value at Risk Forecasts”. Journal of Forecasting, 2024. https://doi.org/10.1002/for.3115.
Małecka M. New runs‐based approach to testing value at risk forecasts. Journal of Forecasting. 2024;.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Commerce
Business
Personnel management
Employment management
Social Sciences
Economic theory
Demography
Economics as a science
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 6 2015
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 208 2011
New tests for jumps in semimartingale models Statistical Inference for Stochastic Processes
  • Science: Mathematics: Probabilities. Mathematical statistics
 48 2009
Backtesting value‐at‐risk accuracy: A simple new test 2007
Backtesting Value-at-Risk: A Duration-Based Approach Journal of Financial Econometrics
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 219 2004