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  4. Gordy, Michael B. [Author]; McNeil, Alexander J. [Author]

    Spectral backtests of forecast distributions with application to risk management

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    Washington, D.C.: Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, February 21, 2018

    Published in: Finance and economics discussion series ; 201802100

  13. Bücher, Axel [Author]; Posch, Peter N. [Author]; Schmidtke, Philipp [Author] ; Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes

    Using the extremal index for value-at-risk backtesting

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    [Dortmund]: SFB 823, [2018]

    Published in: Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes: Discussion papers ; 2018,25

  20. Barendse, Sander [Author]; Kole, Erik [Author]; Dijk, Dick van [Author]

    Backtesting value-at-risk and expected shortfall in the presence of estimation error

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    2023

    Published in: Journal of financial econometrics ; 21(2023), 2 vom: Frühjahr, Seite 528-568