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Backtesting Volatility Assumptions using Overlapping Observations

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-0-387-75971-5openalex-extracted

Asymptotic Theory of Statistics and Probability

inferredcites →https://doi.org/10.1016/j.patrec.2005.10.010openalex-extracted

An introduction to ROC analysis

inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted

Testing Density Forecasts, With Applications to Risk Management

inferredcites →https://doi.org/10.2139/ssrn.3154989openalex-extracted

Backtesting for Counterparty Credit Risk

inferredcites →https://doi.org/10.3102/10769986012004412openalex-extracted

Book Reviews: Goodness-of-Fit Techniques Ralph B. D’Agostino, Michael A. Stephens (Eds.) New York : Marcel Dekker, 1986. xviii + 560 pp

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