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Backtesting VaR and expectiles with realized scores - MaRDI portal

Backtesting VaR and expectiles with realized scores (Q2324292)

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scientific article
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English
Backtesting VaR and expectiles with realized scores
scientific article

    Statements

    title
    Backtesting VaR and expectiles with realized scores (English)
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    author
    Fabio Bellini
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    Ilia Negri
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    Mariya Pyatkova
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    publication date
    11 September 2019
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    zbMATH Keywords
    backtesting
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    forecasting
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    value at risk
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    expectiles
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62G08
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    62M20
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    62M10
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    zbMATH DE Number
    7103483
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    OpenAlex ID
    W2887943213
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