scientific article; zbMATH DE number 1538077
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Publication:4518939
zbMATH Open0971.91032MaRDI QIDQ4518939FDOQ4518939
Authors: Gerhard Stahl, Wolfgang K. Härdle 
Publication date: 18 January 2001
Title of this publication is not available (Why is that?)
Recommendations
- Backtesting expected shortfall and beyond
- Backtesting VaR and expectiles with realized scores
- Backtesting Parametric Value-at-Risk With Estimation Risk
- A review of backtesting for value at risk
- Extending the limits of backtesting via the `vanishing \(p\)'-approach
- Estimating and backtesting risk under heavy tails
- Backtesting aggregate risk
- Asymptotic properties of duration-based VaR backtests
- Backtesting extreme value theory models of expected shortfall
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
Cited In (9)
- Statistical inference for time-inhomogeneous volatility models.
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Backtesting value-at-risk: a generalized Markov test
- On the appropriateness of inappropriate VaR models
- Backtesting VaR and expectiles with realized scores
- A simple and focused backtest of value at risk
- Value-at-risk forecasts under scrutiny—the German experience
- Asymptotic properties of duration-based VaR backtests
- A review of backtesting for value at risk
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