Portfolio Backtesting
References
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References
Campbell, S.
D. (2006). A review of backtesting and backtesting procedures. Journal
of Risk, 9, No. 2, pp. 1-17
Christoffersen,
P. (1998). Evaluating interval forecasts. International Economic Review,
39, pp. 841-62
Christoffersen,
P. and Pelletier, D. (2004). Backtesting value-at-risk: a duration-based
approach. Journal of Empirical Finance, 2, pp. 84-108
Dowd, K. (2006).
Backtesting market risk models in a standard normality framework. Journal of
Risk, 9, No. 2, pp. 93-111
Hurlin,
C. and Tokpavi, S. (2006). Backtesting value-at-risk accuracy: a simple new
test. Journal of Risk, 9, No. 2, pp. 19-37
Kemp, M.H.D. (2009).
Market consistency: Model calibration in imperfect markets. John Wiley
& Sons [for further information on this book please see Market Consistency]
Pena, V. H. de
la, Rivera, R. Ruiz-Mata, J. (2006). Quality control of risk measures:
backtesting VAR models. Journal of Risk, 9, No 2, pp. 39-54
Zumbach, G.
(2006). Backtesting risk methodologies from one day to one year. Journal
of Risk, 9, No 2, pp. 55-91
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