The Annals of Applied Statistics

Discussion of “Elicitability and backtesting: Perspectives for banking regulation”

Mark H. A. Davis

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Article information

Source
Ann. Appl. Stat. Volume 11, Number 4 (2017), 1886-1887.

Dates
Received: May 2017
First available in Project Euclid: 28 December 2017

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1514430268

Digital Object Identifier
doi:10.1214/17-AOAS1041C

Citation

Davis, Mark H. A. Discussion of “Elicitability and backtesting: Perspectives for banking regulation”. Ann. Appl. Stat. 11 (2017), no. 4, 1886--1887. doi:10.1214/17-AOAS1041C. https://projecteuclid.org/euclid.aoas/1514430268


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References

  • Davis, M. H. A. (2016). Verification of internal risk measure estimates. Stat. Risk Model. 33 67–93.
  • Giacomini, R. and White, H. (2006). Tests of conditional predictive ability. Econometrica 74 1545–1578.
  • McLeish, D. L. (1977). On the invariance principle for nonstationary mixingales. Ann. Probab. 5 616–621.
  • Williams, D. (1991). Probability with Martingales. Cambridge Univ. Press, Cambridge.

See also

  • Main article: Elicitability and backtesting: Perspectives for banking regulation.