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

99

Visits

2054

Downloads

250

Description

A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks

Munich Personal RePEc Archive (2019)

Aydin Mucahit

Are shocks to disaggregated renewable energy consumption permanent or temporary for the USA? Wavelet based unit root test with smooth structural shifts

Energy (2020)

Aydin Mucahit

Statistical inference of locally stationary functional coefficient models

Journal of Statistical Planning and Inference (2020)

Ding Hao, Hu Jianhua, Liu Liangyuan, and Feng Jingyan

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

147

34

0 comment

Add comment

You need to log in to post a comment.