Backtesting VaR and expectiles with realized scores
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DOI: 10.1007/s10260-018-00434-w
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- Alexander Wagner & Stan Uryasev, 2019. "Portfolio Optimization with Expectile and Omega Functions," Papers 1910.14005, arXiv.org.
- Mustapha Rachdi & Ali Laksaci & Noriah M. Al-Kandari, 2022. "Expectile regression for spatial functional data analysis (sFDA)," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(5), pages 627-655, July.
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Keywords
Backtesting; Forecasting; Value at risk; Expectiles;All these keywords.
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