Browsing by Subject "Kupiec test"

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Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company

Konderla, Tomáš; Klepáč, Václav (Mendelova univerzita v Brně, 2017)

The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock ...