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Statistica Sinica 20 (2010), 455-468





EVALUATION OF VALUE AT RISK:

AN EMPIRICAL LIKELIHOOD APPROACH


Zhenghong Wei and Lixing Zhu


Shenzhen University and Hong Kong Baptist University


Abstract: To evaluate some Value at Risk models, the empirical likelihood approach to martingales is recommended. It turns out that the usual Wilks' theorem still holds in this case under mild conditions, and then it can be performed easily. Simulations were carried out for examining the performance of the new method.



Key words and phrases: Empirical likelihood, martingale, non-nested test, specification test, Value at Risk.

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