The following pages link to (Q4518939):
Displaying 8 items.
- On the appropriateness of inappropriate VaR models (Q878314) (← links)
- A simple and focused backtest of value at risk (Q1667928) (← links)
- Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
- Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
- Backtesting VaR and expectiles with realized scores (Q2324292) (← links)
- Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930) (← links)
- Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625) (← links)
- A review of backtesting for value at risk (Q5160284) (← links)