Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10010433427
Persistent link: https://www.econbiz.de/10002798350
We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...
Persistent link: https://www.econbiz.de/10011927115
Persistent link: https://www.econbiz.de/10012389834
Persistent link: https://www.econbiz.de/10015056427