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| Author: | Moosa, I.A. Bollen, B. |
| Title: | A benchmark for measuring bias in estimated daily value at risk |
| Journal: | International Review of Financial Analysis
2002 : VOL. 11:1, p. 85-100 |
| Index terms: | BENCHMARKING BIAS VALUE-AT-RISK VOLATILITY |
| Language: | eng |
| Abstract: | In this study the notion of "realised volatility", which has been proposed in the literature recently, is employed to obtain a benchmark to test statistically for bias in estimates of daily value at risk (VAR). A number of estimates based on the parametric and historical approaches to VAR are examined. |
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