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Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png SSRN Electronic Journal Unpaywall

Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

SSRN Electronic JournalJan 1, 2016

Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

SSRN Electronic JournalJan 1, 2016

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Publisher
Unpaywall
ISSN
1556-5068
DOI
10.2139/ssrn.2898688
Publisher site
See Article on Publisher Site

Abstract

Journal

SSRN Electronic JournalUnpaywall

Published: Jan 1, 2016

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