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| Högfrekvensdata och analys av marknadsmikrostruktur× | Value-at-Risk (VaR) Backtesting× | |
|---|---|---|
| Ämnesområde | Finansiell ekonomi | Finansiell ekonomi |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2007 | 1998 |
| Upphovsperson≠ | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Kupiec (1995); Christoffersen (1998); Engle & Manganelli (DQ test) |
| Typ≠ | Market microstructure / high-frequency econometrics | Statistical hypothesis tests on VaR violation sequences |
| Ursprungskälla≠ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. DOI ↗ |
| Alias≠ | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | VaR backtest, Kupiec test, Christoffersen test, Dynamic Quantile test |
| Närliggande≠ | 5 | 3 |
| Sammanfattning≠ | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | 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. |
| ScholarGateDatamängd ↗ |
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