The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures

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dc.contributor.author Górka, Joanna
dc.date.accessioned 2014-11-07T08:50:45Z
dc.date.available 2014-11-07T08:50:45Z
dc.date.issued 2010-07-17
dc.identifier.citation Dynamic Econometric Models, Vol. 10, pp. 61-81
dc.identifier.issn 1234-3862
dc.identifier.other doi:10.12775/DEM.2010.006
dc.identifier.uri http://repozytorium.umk.pl/handle/item/2237
dc.description.abstract Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method of estimating and backtesting is crucial for both the regulators and the risk managers’. The Sign RCA models may be useful to obtain the accurate forecasts of VaR. In this research one briefly describes the Sign RCA models, the Value at Risk and backtesting. We compare the predictive accuracy of alternative VaR forecasts obtained from different models. Empirical example is mainly related to the PBG Capital Group shares on the Warsaw Stock Exchange.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject Family of Sign RCA Models
dc.subject Value at Risk
dc.subject backtesting
dc.subject loss function
dc.title The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
dc.type info:eu-repo/semantics/article

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