New backtests for unconditional coverage of expected shortfall
Robert Löser, Dominik Wied and Daniel Ziggel
| Year of publication: |
2019
|
|---|---|
| Authors: | Löser, Robert ; Wied, Dominik ; Ziggel, Daniel |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 4, p. 39-59
|
| Subject: | expected shortfall (ES) | model-risk | multivariate backtesting | unconditional coverage | hypothesis testing | Theorie | Theory | Risikomaß | Risk measure | Statistischer Test | Statistical test | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2019.406 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012059868