The sensitivity of Value-at-Risk estimates using Monte Carlo approach
Christos Agiakloglou and
Charalampos Agiropoulos
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Charalampos Agiropoulos: University of Piraeus, Dept. of Economics, Piraeus, Greece
SPOUDAI Journal of Economics and Business, 2011, vol. 61, issue 1-2, 7-12
Abstract:
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.
Keywords: Var; Monte Carlo method; Kupiec test (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spd:journl:v:61:y:2011:i:1-2:p:7-12
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