Universitätsstraße 150
Bochum, NRW 44780
Germany
Ruhr University of Bochum
Value-at-Risk, backtesting, Monte Carlo simulation
Model Risk, Multivariate Backtesting, Value-at-Risk
Central Limit Theorem, High-Frequency Data, Microstructure Noise, Semimartingale Theory, Tests for Jumps, Truncated Power Variation
Bipower Variation, Central Limit Theorem, Diffusion Models, Goodness-Of- Fit Testing, High-Frequency Data, Integrated Volatility, Range-Based Bipower Variation, Semimartingale Theory
Monotone discount curve, McCulloch splines, nonnegative forward rates