Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Estudi d'esdeveniments (CAR i BHAR)× | Retro-validació del Valor en Risc (VaR)× | |
|---|---|---|
| Camp | Finances | Finances |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1997 | 1998 |
| Autor original≠ | MacKinlay (review); Kothari & Warner (econometrics) | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| Tipus≠ | Abnormal-return model for financial events | Statistical hypothesis tests on VaR violation sequences |
| Font seminal≠ | MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13–39. link ↗ | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| Àlies | event study, cumulative abnormal return analysis, abnormal return analysis, CAR | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| Relacionats≠ | 4 | 3 |
| Resum≠ | The event study is a financial research method that measures the impact of a news release, policy change, or corporate event on asset prices through cumulative abnormal returns. Reviewed by MacKinlay (1997) and formalised econometrically by Kothari and Warner (2007), it is the standard tool for testing the efficient-market hypothesis and analysing the information content of events. | VaR backtesting is a family of statistical tests that validate a risk model by comparing its Value-at-Risk forecasts against realised losses. It builds on Kupiec's (1995) unconditional coverage test, Christoffersen's (1998) conditional coverage test, and the Engle-Manganelli Dynamic Quantile (DQ) test. |
| ScholarGateConjunt de dades ↗ |
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