EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Published

Downloads: (external link)
http://economics.soc.uoc.gr/wpa/docs/0701.pdf First version (application/pdf)
No

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:crt:wpaper:0701

Access Statistics for this paper

More papers in Working Papers from University of Crete, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kostis Pigounakis ().

 
Page updated 2021-01-14
Handle: RePEc:crt:wpaper:0701