Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985)
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scientific article; zbMATH DE number 7662820
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| English | Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall |
scientific article; zbMATH DE number 7662820 |
Statements
Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (English)
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14 March 2023
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ARMA-GARCH model
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backtest
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conditional expected shortfall
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conditional value-at-risk
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empirical likelihood
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0.7954068183898926
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0.7798916101455688
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0.7738271355628967
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0.7712306976318359
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0.7699916958808899
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