TY  - RPRT
AU  - Garcia-Jorcano, Laura
AU  - Novales Cinca, Alfonso Santiago
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17510
AB  - We introduce three dominance criteria to compare the performance of alternative VaR forecasting models. The three criteria use the information provided by a battery of VaR validation tests based on the frequency and size of exceedances, offering the...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Value at risk
KW  - Backtesting
KW  - Forecast evaluation
KW  - Dominance
KW  - Conditional volatility models
KW  - Asymmetric distributions.
TI  - A dominance approach for comparing the performance of VaR forecasting models
TY  - technical report
VL  - 2019
ER  -