Spectral backtests of forecast distributions with application to risk management

McNeil, Alexander John orcid.org/0000-0002-6137-2890 and Gordy, Michael (2020) Spectral backtests of forecast distributions with application to risk management. Journal of Banking and Finance. 105817. ISSN 1872-6372

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © Elsevier, 2020. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Backtesting; Volatility; Risk management,Economics, Econometrics and Finance (miscellaneous)
Dates:
  • Accepted: 24 March 2020
  • Published (online): July 2020
  • Published: July 2020
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 06 Apr 2020 15:30
Last Modified: 19 Jan 2022 00:41
Published Version: https://doi.org/10.1016/j.jbankfin.2020.105817
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jbankfin.2020.105817

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