Pages that link to "Item:Q1667928"
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The following pages link to A simple and focused backtest of value at risk (Q1667928):
Displaying 11 items.
- A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis (Q650729) (← links)
- Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device (Q1046189) (← links)
- Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
- Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930) (← links)
- Backtesting Aggregate Risk (Q4687587) (← links)
- Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- A review of backtesting for value at risk (Q5160284) (← links)
- Extending the Limits of Backtesting via the ‘Vanishing <i>p</i>’‐Approach (Q5237535) (← links)
- Evaluating Value-at-Risk Models via Quantile Regression (Q5392692) (← links)
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985) (← links)