Multiple hypothesis testing of market risk forecasting models
Francesco P. Esposito and Mark Cummins
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Esposito, Francesco P. ; Cummins, Mark |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 5, p. 381-399
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| Subject: | value-at-risk | expected shortfall | bootstrap multiple hypothesis testing | generalized family-wise error rate | multiple comparison map | Risikomaß | Risk measure | Statistischer Test | Statistical test | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2381 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580778