Regression-based expected shortfall backtesting
Sebastian Bayer and Timo Dimitriadis
| Year of publication: |
2022
|
|---|---|
| Authors: | Bayer, Sebastian ; Dimitriadis, Timo |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 3, p. 437-471
|
| 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 |
| Extent: | Diagramme |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Vorab online veröffentlicht am 27. September 2020 Gesehen am 7.8.2023 |
| Other identifiers: | 10.1093/jjfinec/nbaa013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349110