Introduces backtest e-statistics and e-processes for model-free backtesting of VaR and ES using identification functions, with simulation and data validation.
Multivariate location--scale mixtures of normals and mean--variance--skewness portfolio allocation
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2022 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
E-backtesting
Introduces backtest e-statistics and e-processes for model-free backtesting of VaR and ES using identification functions, with simulation and data validation.