Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and t...Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.展开更多
基金supported by Guangdong Natural Science Foundation (Grant No.2008276)a grant from the Research Grants Council of Hong Kong,China
文摘Value at Risk (VaR) is a basic and very useful tool in measuring market risks. Numerous VaR models have been proposed in literature. Therefore, it is of great interest to evaluate the efficiency of these models, and to select the most appropriate one. In this paper, we shall propose to use the empirical likelihood approach to evaluate these models. Simulation results and real life examples show that the empirical likelihood method is more powerful and more robust than some of the asymptotic method available in literature.
