Narrow search
Showing 1 - 3 of 3
Cover Image
Robust forecast evaluation of expected shortfall
Ziegel, Johanna F.; Krüger, Fabian; Jordan, Alexander I.; … - In: Journal of financial econometrics 18 (2020) 1, pp. 95-120
Persistent link: https://www.econbiz.de/10012180402
Cover Image
Regression-based expected shortfall backtesting
Bayer, Sebastian; Dimitriadis, Timo - In: Journal of financial econometrics 20 (2022) 3, pp. 437-471
Persistent link: https://www.econbiz.de/10013349110
Cover Image
Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo; Liu, Xiaochun; Schnaitmann, Julie - In: Journal of financial econometrics 21 (2023) 2, pp. 412-444
Persistent link: https://www.econbiz.de/10014314753