Multinomial VAR Backtests : A Simple Implicit Approach to Backtesting Expected Shortfall
Year of publication: |
2017
|
---|---|
Authors: | Kratz, Marie |
Other Persons: | Lok, Yen (contributor) ; McNeil, Alexander J. (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikomaß | Risk measure | Statistischer Test | Statistical test | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Messung | Measurement |
Extent: | 1 Online-Ressource (32 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2898688 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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