Backtesting expected shortfall and beyond
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Publication:5014244
DOI10.1080/14697688.2020.1834120zbMATH Open1479.91449OpenAlexW3126340778MaRDI QIDQ5014244FDOQ5014244
Authors: Kaihua Deng, Jie Qiu 
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1834120
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Cites Work
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- Elicitability and backtesting: perspectives for banking regulation
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Coherent measures of risk
- Higher order elicitability and Osband's principle
- Making and evaluating point forecasts
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistent Specification Testing Via Nonparametric Series Regression
- Tests of Conditional Predictive Ability
- Coherence and elicitability
- Expected shortfall and beyond
- Moments of Markov switching models
- Title not available (Why is that?)
Cited In (4)
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