Regression-based expected shortfall backtesting

Sebastian Bayer and Timo Dimitriadis

Year of publication:	2022
Authors:	Bayer, Sebastian ; Dimitriadis, Timo
Subject:	asymptotic theory \| backtesting \| expected shortfall \| forecast evaluation \| Mincer-Zarnowitz regression \| model misspecification \| Risikomaß \| Risk measure \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| Regressionsanalyse \| Regression analysis \| Statistischer Test \| Statistical test \| Portfolio-Management \| Portfolio selection \| Modellierung \| Scientific modelling

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