Results 191 to 200 of about 2,923 (211)
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Backtesting Parametric Value-at-Risk With Estimation Risk
Journal of Business and Economic Statistics, 2010Juan CARLOS Escanciano, JOSÉ Olmo
exaly
Backtesting Expected Shortfall: Accounting for Tail Risk
Management Science, 2017Zaichao Du, Juan CARLOS Escanciano
exaly
Backtesting extreme value theory models of expected shortfall
Quantitative Finance, 2019Alfonso Novales, Laura Garcia-Jorcano
exaly
Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
Finance Research Letters, 2020Angel Leon
exaly
Frontiers in VaR forecasting and backtesting
International Journal of Forecasting, 2016Esther Ruiz
exaly
Backtesting VaR and ES under the magnifying glass
International Review of Financial Analysis, 2019Ekaterini Panopoulou
exaly