Projects funded by the NCN
Hypothesis Testing in Market Risk Evaluation
2013/11/N/HS4/03354
Keywords:
VaR ES risk measure VaR backtesting ES backtesting correlation test Kupiec test Markov test experimental design simulation study Monte Carlo test size of the test power of the test
Descriptors:
- HS4_3: Econometrics, statistical methods
- HS4_6: Financial markets, international finance, public finance
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny
woj. łódzkie
Principal investigator (from the host institution):
Number of co-investigators in the project: 2
Call: PRELUDIUM 6 - announced on 2013-09-16
Amount awarded: 105 700 PLN
Project start date (Y-m-d): 2014-07-10
Project end date (Y-m-d): 2018-10-09
Project duration:: 51 months (the same as in the proposal)
Project status: Project settled