Spectral backtests of forecast distributions with application to risk management
Michael B. Gordy, Alexander J. McNeil
| Year of publication: |
2020
|
|---|---|
| Authors: | Gordy, Michael B. ; McNeil, Alexander J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 116.2020, p. 1-13
|
| Subject: | Backtesting | Risk management | Volatility | Risikomanagement | Prognoseverfahren | Forecasting model | Volatilität | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105817 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012489248