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Statistical methods in finance

Maddala, Gangadharrao S. (contributor); … - 1996

Persistent link: https://www.econbiz.de/10000610528

Annals of econometrics: forecasting and empirical methods in finance and macroeconomics

Diebold, Francis X. (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001617180

Density forecasting : a survey

Tay, Anthony S. A.; Wallis, Kenneth Frank - In: Journal of forecasting 19 (2000) 4, pp. 235-254

Persistent link: https://www.econbiz.de/10001504601

Backtesting Value at Risk and Expected Shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected...