Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23
terms of in-sample fit based on various statistical and graphical tests. A more rigorous validation procedure involves …: a regression-based backtesting procedure, the Exceedance Residual backtest and the V-Tests. The validation results show …