TY  - RPRT
AU  - Garcia-Jorcano, Laura
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17513
AB  - We provide evidence suggesting that the assumption on the probability distribution for return in- novations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently proposed...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Value-at-risk
KW  - Backtesting
KW  - Evaluating forecasts
KW  - Precedence
KW  - APARCH model
KW  - Asym- metric distributions.
TI  - Volatility specifications versus probability distributions in VaR forecasting
TY  - technical report
VL  - 2019
ER  -