Backtesting expected shortfall and beyond
Kaihua Deng and Jie Qiu
| Year of publication: |
2021
|
|---|---|
| Authors: | Deng, Kaihua ; Qiu, Jie |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 7, p. 1109-1125
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| Subject: | Backtesting | Elicitability | Expected shortfall | GARCH models | Risk management | Theorie | Theory | Risikomanagement | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Finanzdienstleistung | Financial services | Messung | Measurement | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1834120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588022