On the role of the estimation error in prediction of expected shortfall
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KeywordsBacktesting; Delta method; Finance; GARCH; Risk Management;
- 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)
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-FMK-2012-08-23 (Financial Markets)
- NEP-FOR-2012-08-23 (Forecasting)
- NEP-RMG-2012-08-23 (Risk Management)
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