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A Note on Jointly Backtesting Models for Multiple Assets and Horizons
Auteur(s)
Date de parution
2016-5
In
Wilmott Magazine
No
83
De la page
46
A la page
49
Revu par les pairs
1
Résumé
We propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts.
Autre version
http://onlinelibrary.wiley.com/doi/10.1002/wilm.10509/abstract
Type de publication
Resource Types::text::journal::journal article
