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Backtesting Global Growth-at-Risk
Journal of Monetary Economics, 2021Christian Brownlees, André B.M. Souza
exaly
Value-at-Risk Backtesting: Beyond the Empirical Failure Rate
Expert Systems With Applications, 2021Theo Berger
exaly
Stitching in Optimized Backtests
Stitching an optimized path-dependent backtest is a commonly used technique that enables parallelization and significant backtest acceleration. This first of its kind result shows both analytically and practically that there is a clear criterion when stitching is fully justified and produces near-identical results.Dmitriy Nuriyev, Songyun Duan
openaire +1 more source
Backtesting Parametric Value-at-Risk With Estimation Risk
Journal of Business and Economic Statistics, 2010José Olmo, J Carlos Escanciano
exaly
Backtesting VaR and ES Under the Magnifying Glass
International Review of Financial Analysis, 2019Ekaterini Panopoulou +1 more
exaly