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1
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
2
The efficiency of the Anderson-Darling test with a limited sample size : an application to backtesting counterparty credit risk internal models
Formenti, Matteo
;
Spadafora, Luca
;
Terraneo, Marcello
; …
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 69-100
Persistent link: https://www.econbiz.de/10012117481
Saved in:
3
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
4
Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
Saved in:
5
A test for the equality of multiple Sharpe ratios
Wright, John
;
Yam, Sheung Chi Phillip
;
Yung, Siu Pang
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 3-21
Persistent link: https://www.econbiz.de/10013262931
Saved in:
6
Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina
;
Memmel, Christoph
;
Schmidt, Rafael
- In:
Journal of risk
14
(
2011/12
)
1
,
pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
Saved in:
7
Evaluation of credit portfolio models : test statistics for density-based tests
Plank, Kilian
;
Walter, Roland
- In:
Journal of risk
13
(
2010/11
)
2
,
pp. 3-21
Persistent link: https://www.econbiz.de/10008807874
Saved in:
8
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
Leung, Pui-lam
;
Wong, Wing Keung
- In:
Journal of risk
10
(
2007/08
)
3
,
pp. 15-30
Persistent link: https://www.econbiz.de/10003698907
Saved in:
9
A review of backtesting and backtesting procedures
Campbell, Sean D.
- In:
Journal of risk
9
(
2006/07
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10003697504
Saved in:
10
Backtesting value-at-risk accuracy: a simple new test
Hurlin, Christophe
;
Tokpavi, Sessi
- In:
Journal of risk
9
(
2006/07
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10003697509
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