Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/96208
Authors: 
Agiakloglou, Christos
Agiropoulos, Charalampos
Year of Publication: 
2011
Citation: 
[Journal:] SPOUDAI - Journal of Economics and Business [ISSN:] 2241-424X [Volume:] 61 [Year:] 2011 [Issue:] 1/2 [Pages:] 7-12
Abstract: 
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.
Subjects: 
VaR
Monte Carlo method
Kupiec test
JEL: 
G32
Document Type: 
Article

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