Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

quantile regression sign in to follow this
backtesting sign in to follow this
S&P 500 sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Evaluating Value-at-Risk Models via Quantile Regression
Year Of Publication: 2008
Month Of Publication: August
Pages: 30
Download Count: 20
View Count: 1911
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-3-2010
Publisher: Administrator
Summary
This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests available in the literature are based on such variables. In this paper we propose a new backtest that does not rely solely on binary variable. It is shown that the new backtest provides a sufficient condition to assess the performance of a quantile model whereas the existing ones do not.
This document is published in the Journal of Business and Economic Statistics (volume 29, number 1) January 2011, pp. 150-160
http://dx.doi.org/10.1198/jbes.2010.07318
Author(s)
Renato Lima, Luiz Sign in to follow this author
Linton, Oliver Sign in to follow this author
Gaglianone, Wagner Piazza Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile