Journal ArticleOPEN ACCESS

Tile test for back-testing risk evaluation

Quantitative Finance (2021) 21(10) 1605-1619
DOI: 10.1080/14697688.2021.1910724
2Citations
Citations of this article
6Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

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

Cite

CITATION STYLE

APA

Zumbach, G. (2021). Tile test for back-testing risk evaluation. Quantitative Finance, 21(10), 1605–1619. https://doi.org/10.1080/14697688.2021.1910724

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free