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Xiaochun Meng
University of Bath
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
Backtesting Expectile: Disentangling Unconditional Coverage and Independence Properties
Number of pages: 28
Posted: 30 Aug 2024
Jesus Armando de Ita Solis
,
Yang Lu
,
Mélina Mailhot
and Xiaochun Meng
Concordia University, Department of Maths & Statis, Concordia University, Concordia University and University of Bath
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Abstract:
Backtesting, expectile, Box-Pierce Test, Wald test, conditional coverage
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