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

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February 8, 2018

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R

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Description

Statistical inference of locally stationary functional coefficient models

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