A new class of independence tests for interval forecasts evaluation

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3366-3380

  Araujo Santos P ^a   Fraga Alves, M I ^b  

^a UNIVERSITY OF LISBON   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Backtesting; Hit sequence; Quantitative risk management

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; BACKTESTING; EXACT DISTRIBUTION; FINANCIAL CRISIS; HIT SEQUENCE; INDEPENDENCE PROPERTIES; INDEPENDENCE TESTS; QUANTITATIVE RISK; SIMULATION STUDIES; UNKNOWN PARAMETERS;

RISK MANAGEMENT;

TESTING;

EID: 84862008809     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.10.002     Document Type: Article

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