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Frontiers in VaR forecasting and backtesting

2016134 citationsJournal Articlegreen Open Access

Authors

María Rosa Nieto · Universidad Anáhuac

Esther Ruiz · Universidad Carlos III de Madrid

Topics & Keywords

Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Stochastic processes and financial applications

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: International Journal of Forecasting

Volume 32, Issue 2, pp. 475-501

DOI: 10.1016/j.ijforecast.2015.08.003

Field-Weighted Citation Impact: 21.11

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