Powerful Backtests for Historical Simulation Expected Shortfall Models
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Cites work
- An automatic portmanteau test for serial correlation
- Asymptotic Statistics
- Autoregressive Conditional Density Estimation
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Backtesting extreme value theory models of expected shortfall
- Coherent measures of risk
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
- Elicitability and backtesting: perspectives for banking regulation
- Higher order elicitability and Osband's principle
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Making and evaluating point forecasts
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Mixing: Properties and examples
- Nonparametric bootstrap tests for independence of generalized errors
- Nonparametric tests for conditional symmetry in dynamic models
- Quantitative risk management. Concepts, techniques and tools
- The Bahadur representation for sample quantiles under weak dependence
- The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
- Towards data driven selection of a penalty function for data driven Neyman tests
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