Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall

By Kratz Marie, Lok Yen H., and McNeil Alexander J.
Journal of Banking and Finance (2018)

  • Alexander J. McNeil

    University of York

    UK

  • Marie Kratz

    ESSEC

    France

  • Yen H. Lok

    Heriot Watt University

    UK

Created

February 8, 2018

Last update

February 8, 2018

Software

R

Ranking

130

Visits

1333

Downloads

194

Description

A Simple Test for Zero Multiple CorrelationCoefficient in High-Dimensional Normal Data UsingRandom Projection

Working Paper (2019)

Najarzadeh Dariush

Specification tests in semiparametric transformation models - a multiplier bootstrap approach

Working Paper (2019)

Kloodt Nick and Neumeyer Natalie

Quantifying the risk of heat waves using extreme value theory and spatio-temporal functional data

Computational Statistics and Data Analysis (2018)

French Joshua

Simultaneous estimation of quantile regression functions using B-splines and total variation penalty

Computational Statistics and Data Analysis (2017)

Jhong Jae-Hwan and Koo Ja-Yong

Mode jumping MCMC for Bayesian variable selection in GLMM

Computational Statistics and Data Analysis (2018)

Storvik Geir and Hubin Aliaksandr

Optimal Experimental Design for Predator-Prey Functional Response Experiments

Working Paper (2017)

Zhang Jeff, Drovandi Christopher, Kypraios Theodore, and Papanikolaou Nikos

2017-08-08

Zip Archive

1K

164

29

Accelerating Pseudo-Marginal MCMC using Gaussian Processes

Working Paper (2017)

Drovandi Christopher, Boys Richard, and Moores Matthew

A hyperplanes intersection simulated annealing algorithm for maximum score estimation

SSRN (2017)

FLorios Kostas

Tests for Periodicity in Short Time Series and Their Approximate Distributions

Working Paper (2016)

McLeod Angus Ian

0 comment

Add comment

You need to log in to post a comment.