Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Timo Dimitriadis, Xiaochun Liu and Julie Schnaitmann
| Year of publication: |
2023
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|---|---|
| Authors: | Dimitriadis, Timo ; Liu, Xiaochun ; Schnaitmann, Julie |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 2, p. 412-444
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| Subject: | asymptotic theory on the boundary | joint elicitability | multistep ahead and aggregate forecasts | forecast evaluation and combinations | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314753