On the role of the estimation error in prediction of expected shortfall
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More about this item
KeywordsBacktesting; Delta method; Finance; GARCH; Risk management;
- G19 - Financial Economics - - General Financial Markets - - - Other
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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