Backtesting VaR Models: An Expected Shortfall Approach
Timotheos Angelidis () and
Stavros Degiannakis ()
No 701, Working Papers from University of Crete, Department of Economics
Keywords: Value-at-Risk; Expected Shortfall; Volatility Forecasting; ARCH Models (search for similar items in EconPapers)
JEL-codes: C22 C52 G15 (search for similar items in EconPapers)
Pages: 31 pages
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0701
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