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Christian-Albrechts-Universität zu Kiel

Institut für Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2008-16


Nummer

2008-16

Autoren

Helmut Herwartz

 

Titel

 

Exact inference in diagnosing value-at-risk estimates - A Monte Carlo device
Abstract Adjustment of individual sectors is extremely fast whereas aggregate adjustment spreads out because different sectors adjust at distinct times.

Keywords: Value-at-Risk, Monte Carlo test

JEL classification: C22, C52, G28

 

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