Regression-based expected shortfall backtesting
Year of publication: |
2022
|
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Authors: | Bayer, Sebastian ; Dimitriadis, Timo |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 3, p. 437-471
|
Subject: | asymptotic theory | backtesting | expected shortfall | forecast evaluation | Mincer-Zarnowitz regression | model misspecification | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory |
Extent: | Diagramme |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Vorab online veröffentlicht am 27. September 2020 Gesehen am 7.8.2023 |
Other identifiers: | 10.1093/jjfinec/nbaa013 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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