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
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