bayerse/esback

Expected Shortfall Backtesting

esback's Issues

Hour frequency

Is this method suitable for "high" frequency data (hour frequency)?

I try it, but I always get pvalue_twosided_asymptotic equal to one.

Even if I use p = 0.01, pvalue_twosided_asymptotic is one

Possible problem with small alpha values (esr_backtest)

Hi,

first of all thanks for the great package. Unfortunately I get an error that leaves me clueless for the code below with the test data that you can find here.

The code snippet:
esback::esr_backtest(test$r,test$q,test$e, alpha = 0.01, version = 1)
The error is:
Error in x %*% (bu - bl) : non-conformable arguments

Maybe you can help with this or at least clearify why there might be limitations.

Thanks a lot in advance!