Regression-based expected shortfall backtesting

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SEEK ID: https://publications.h-its.org/publications/1405

Filename: nbaa013.pdf 

Format: PDF document

Size: 1.43 MB

SEEK ID: https://publications.h-its.org/publications/1405

DOI: 10.1093/jjfinec/nbaa013

Research Groups: Computational Statistics

Publication type: Journal

Journal: Journal of Financial Econometrics

Publisher: Oxford University Press (OUP)

Citation: Journal of Financial Econometrics, 20(3):437–471

Date Published: 1st Jun 2022

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Registered Mode: manually

Authors: Sebastian Bayer, Timo Dimitriadis

Citation
Bayer, S., & Dimitriadis, T. (2020). Regression-Based Expected Shortfall Backtesting. In Journal of Financial Econometrics (Vol. 20, Issue 3, pp. 437–471). Oxford University Press (OUP). https://doi.org/10.1093/jjfinec/nbaa013
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Created: 13th Dec 2021 at 12:11

Last updated: 10th May 2024 at 12:14

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