Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
998048 | International Journal of Forecasting | 2016 | 27 Pages |
Abstract
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature.
Related Topics
Social Sciences and Humanities
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Business and International Management
Authors
Maria Rosa Nieto, Esther Ruiz,