Powerful Backtests for Historical Simulation Expected Shortfall Models-Reference-Cited by-同舟云学术

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Powerful Backtests for Historical Simulation Expected Shortfall Models

Published:2023-08-28 Issue: Volume: Page:1-11
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Du Zaichao¹,Pei Pei²,Wang Xuhui³^ORCID,Yang Tao⁴

Affiliation:

1. School of Economics, Fudan University, Shanghai, China

2. Chinese Academy of Finance and Development, Central University of Finance and Economics, Beijing, China

3. School of Statistics and Mathematics, Shanghai Lixin University of Accounting and Finance, Shanghai, China

4. School of Business, Shandong University, Weihai, China

Funder

National Natural Science Foundation of China

Innovation Program of Shanghai Municipal Education Commission

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2252881

Reference52 articles.

1. “Backtesting Expected Shortfall,”;Acerbi C.;Risk,2014

2. On the coherence of expected shortfall

3. “Thinking Coherently,”;Artzner P.;Risk,1997

4. “Coherent Measures of Risk,”;Mathematical Finance,1999

5. Non parametric VaR Techniques. Myths and Realities

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stock market extreme risk prediction based on machine learning: Evidence from the American market;The North American Journal of Economics and Finance;2024-09

2. CAESar: Conditional Autoregressive Expected Shortfall;2024

3. Backtesting Expected Shortfall: Accounting for Both Duration and Severity with Bivariate Orthogonal Polynomials;SSRN Electronic Journal;2024

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