Backtesting VaR and expectiles with realized scores
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10260-018-00434-w.pdf
Reference28 articles.
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4. Bellini F, Bignozzi V (2014) On elicitable risk measures. Quant Finance 15:725–733
5. Bellini F, Di Bernardino E (2017) Risk management with expectiles. Eur J Finance 23(6):487–506
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