Backtesting portfolio value‐at‐risk with estimated portfolio weights

DOI10.1111/jtsa.12524zbMath1452.91288OpenAlexW3125190358MaRDI QIDQ5135314

Pei Pei, Zaichao Du

Publication date: 20 November 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2010-010.pdf

zbMATH Keywords

portfoliovalue-at-riskrisk managementforecast evaluationestimation riskbacktesting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• Asymptotic Inference about Predictive Ability
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