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"Backtesting VaR and expectiles with realized scores."

Fabio Bellini, Ilia Negri, Mariya Pyatkova (2019)

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DOI: 10.1007/S10260-018-00434-W

access: closed

type: Journal Article

metadata version: 2020-10-26

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Fabio Bellini, Ilia Negri, Mariya Pyatkova:
Backtesting VaR and expectiles with realized scores. Stat. Methods Appl. 28(1): 119-142 (2019)

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