Robust model checks with high-dimensional covariates Conference Contributions uri icon

event

  • 4th Workshop on goodness-of-fit, change-point and related problems

event place

  • Trento

country

  • ITALIA

participation category

  • PONENCIA

main title

  • GOFCP 2019. 4th Workshop on goodness-of-fit, change-point and related problems

edition country

  • ITALIA

publication date

  • 2019

keywords

  • conditional moment restrictions; omnibus tests; asset pricing; value-at-risk; expected shortfall; backtesting