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Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine, (2024)
Model risk in backtesting risk measures
Evers, Corinna, (2014)
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie, (2018)
A New Approach to Backtesting and Risk Model Selection
Corbetta, Jacopo, (2018)
The asymptotic smile of a multiscaling stochastic volatility model
Caravenna, Francesco, (2015)
General smile asymptotics with bounded maturity
Caravenna, Francesco, (2014)