Consistency of internal risk measure estimates
暂无分享,去创建一个
[1] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[2] Romain Deguest,et al. Robustness and sensitivity analysis of risk measurement procedures , 2008 .
[3] Ralph C. Smith,et al. Uncertainty Quantification: Theory, Implementation, and Applications , 2013 .
[4] P. Embrechts,et al. Statistics and Quantitative Risk Management for Banking and Insurance , 2014 .
[5] G. Gripenberg,et al. On the prediction of fractional Brownian motion , 1996, Journal of Applied Probability.
[6] P. Hall,et al. Martingale Limit Theory and Its Application , 1980 .
[7] L. J. Savage. Elicitation of Personal Probabilities and Expectations , 1971 .
[8] Thomas T. Warner,et al. Numerical Weather and Climate Prediction , 2011 .
[9] PAUL EMBRECHTS,et al. Modelling of extremal events in insurance and finance , 1994, Math. Methods Oper. Res..
[10] Stefan Reichelstein,et al. Information-eliciting compensation schemes , 1985 .
[11] R. Cont. Empirical properties of asset returns: stylized facts and statistical issues , 2001 .
[12] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[13] Johanna F. Ziegel,et al. COHERENCE AND ELICITABILITY , 2013, 1303.1690.
[14] T. Gneiting. Making and Evaluating Point Forecasts , 2009, 0912.0902.
[15] A. P. Dawid,et al. Present position and potential developments: some personal views , 1984 .
[16] A. Dawid,et al. Prequential probability: principles and properties , 1999 .
[17] Peter F. Christoffersen. Evaluating Interval Forecasts , 1998 .
[18] James S. Kennedy,et al. EVALUATING PROBABILITY FORECASTS. , 1969 .
[19] David Williams,et al. Probability with Martingales , 1991, Cambridge mathematical textbooks.
[20] M A H Dempster,et al. An automated FX trading system using adaptive reinforcement learning , 2006, Expert Syst. Appl..
[21] Steven Kou,et al. External Risk Measures and Basel Accords , 2013, Math. Oper. Res..
[22] Marc S. Paolella,et al. Value-at-Risk Prediction: A Comparison of Alternative Strategies , 2005 .