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q-fin.RM 1

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2022 1

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E-backtesting

q-fin.RM · 2022-08-27 · unverdicted · novelty 7.0

Introduces backtest e-statistics and e-processes for model-free backtesting of VaR and ES using identification functions, with simulation and data validation.

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  • E-backtesting q-fin.RM · 2022-08-27 · unverdicted · none · ref 70

    Introduces backtest e-statistics and e-processes for model-free backtesting of VaR and ES using identification functions, with simulation and data validation.