A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war

Małecka, Marta; Pietrzyk, Radosław

doi:10.1007/s11135-024-01866-1

Qual Quant

2024

DOI: 10.1007/s11135-024-01866-1

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A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war

Marta Małecka,

Radosław Pietrzyk

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A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war

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References 68 publications

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