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  • Search: subject:"multivariate backtesting"
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Subject
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Risikomaß 2 Risk measure 2 Statistical test 2 Statistischer Test 2 Theorie 2 Theory 2 ARCH model 1 ARCH-Modell 1 Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 Forecasting model 1 Model risk 1 Multivariate Analyse 1 Multivariate analysis 1 Multivariate backtesting 1 Prognoseverfahren 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Systemic risk 1 Systemrisiko 1 Value-at-Risk 1 expected shortfall (ES) 1 hypothesis testing 1 model-risk 1 multivariate backtesting 1 unconditional coverage 1
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Undetermined 2
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Article 2
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2
Author
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Wied, Dominik 2 Ziggel, Daniel 2 Löser, Robert 1 Weiß, Gregor 1
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Journal of banking & finance 1 Journal of risk 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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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
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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
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