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
Date: 2007-01-12
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-rmg
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Citations: View citations in EconPapers (14)

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