Backtesting portfolio value‐at‐risk with estimated portfolio weights-Reference-Cited by-同舟云学术

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Backtesting portfolio value‐at‐risk with estimated portfolio weights

Published:2020-04-06 Issue:5 Volume:41 Page:605-619
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Du Zaichao¹,Pei Pei²^ORCID

Affiliation:

1. School of EconomicsFudan UniversityShanghai China

2. Chinese Academy of Finance and DevelopmentCentral University of Finance and EconomicsBeijing China

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12524

Reference51 articles.

1. Back‐testing expected shortfall;Acerbi C;Risk Magazine,2014

2. AcerbiC. SzékelyB.2017. General properties of backtestable statistics. Available athttps://doi.org/10.2139/ssrn.2905109

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