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2 results for Kupiec backtesting procedures.

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A Wavelet-ARMA-GARCH Refinement Method to VaR Estimate for Foreign Exchange Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Business and Risk Management. 2018, 1(1), 28-36. DOI: 10.12691/ijbrm-1-1-4
Pub. Date: April 23, 2018Views: 5133Downloads: 4124
Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures
Abstract Full Text PDF (391 KB) Full Text HTML Full Text ePUB (194 KB)
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Review on Wavelet Denoised Value at Risk and Application on Crude Oil Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Global Energy Markets and Finance. 2018, 1(1), 4-10. DOI: 10.12691/ijgefm-1-1-2
Pub. Date: April 23, 2018Views: 4003Downloads: 3082
Value-at-Risk crude oil ARMA-GARCH Wavelet Wavelet Denoised VaR Kupiec Backtesting procedures
Abstract Full Text PDF (184 KB) Full Text HTML Full Text ePUB (249 KB)
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