Backtestability and the ridge backtest
Carlo Acerbi and Balazs Szekely
| Year of publication: |
2024
|
|---|---|
| Authors: | Acerbi, Carlo ; Szekely, Balazs |
| Published in: |
Peter Carr Gedenkschrift : research advances in mathematical finance. - New Jersey : World Scientific, ISBN 978-981-12-8029-0. - 2024, p. 61-100
|
| Subject: | elicitability | backtestability | quantile expectile | expected shortfall | model validation | ridge backtest | Risikomaß | Risk measure | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015446912