Tile test for back-testing risk evaluation

Gilles Zumbach

Quantitative Finance, 2021, vol. 21, issue 10, 1605-1619

Abstract: Different tilings allow the checking of the dynamic and distributional aspects of risk estimations with regard to their subtle mean reversion effects

Date: 2021
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DOI: 10.1080/14697688.2021.1910724

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