Browsing by Subject "Backtesting"

Browsing by Subject "Backtesting"

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  • Kebba, Bah (JKUAT-PAUSTI, 2018-02-15)
    In recent years, the question of whether expected shortfall is backtestable has been hot topic of discussion after the ndings in 2011 that expected shortfall lacks the elicitability property in mathematics. However, ...

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