New backtests for improved expectile risk forecasts evaluation
QQ plots of the empirical distributions of the six test statistics against their asymptotic chi-square distributions. Northwest: UC; North: IND1; Northeast: IND2; Southwest: IND3; South: NZ2; Southeast: IBP. GA, UNITED STATES, March 4, 2026 /EINPresswire.com/ — Expectiles are a coherent and elicitable alternative to commonly used market risk measures, but practical backtesting tools have lagged … Read more