| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7358499 | Journal of Economic Dynamics and Control | 2018 | 37 Pages |
Abstract
A simulation study and an analysis of daily market prices suggest that short- and mid-run information components cover the relevant information that is necessary for estimating adequate daily VaR. Excluding long-run information components reduces daily VaR forecasts by (up to) 4% and does not impact the quality of regulatory back-testing.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Theo Berger, Ramazan Gençay,