Evaluation of value at risk: An empirical likelihood approach

Zhenghong Wei*, Lixing ZHU

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)455-468
Number of pages14
JournalStatistica Sinica
Volume20
Issue number1
Publication statusPublished - Jan 2010

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Empirical likelihood
  • Martingale
  • Non-nested test
  • Specification test
  • Value at Risk

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