Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10008666818
Persistent link: https://www.econbiz.de/10008655786
Persistent link: https://www.econbiz.de/10011332869
Persistent link: https://www.econbiz.de/10010414888
Persistent link: https://www.econbiz.de/10003827262
Persistent link: https://www.econbiz.de/10003827266
Persistent link: https://www.econbiz.de/10011694662
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/10011892794
Persistent link: https://www.econbiz.de/10013464633