Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Marta Małecka ()
Additional contact information
Marta Małecka: Department of Statistical Methods, University of Łódź, Poland

Statistics in Transition New Series, 2021, vol. 22, issue 1, 145-162

Abstract: Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the...

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.exeley.com/exeley/journals/statistics_ ... attrans-2021-008.pdf (application/pdf)
https://www.exeley.com/statistics_in_transition/doi/10.21307/stattrans-2021-008 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162

DOI: 10.21307/stattrans-2021-008

Access Statistics for this article

More articles in Statistics in Transition New Series from Polish Statistical Association
Bibliographic data for series maintained by MPS Ltd. ().