Backtesting portfolio value-at-risk with estimated portfolio weights

Du, ZC; Pei, P

Pei, P (corresponding author), Chinese Acad Finance & Dev, Cent Univ Finance & Econ, 39 South Coll Rd, Beijing 100081, Peoples R China.

JOURNAL OF TIME SERIES ANALYSIS, 2020; 41 (5): 605

Abstract

This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate f......

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