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Search: subject:"asymptotic theory on the boundary"
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asymptotic theory on the boundary
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forecast evaluation and combinations
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Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 412-444
Persistent link: https://www.econbiz.de/10014314753
Saved in:
2
Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
-
2020
nonstandard
asymptotic
theory
on
the
boundary
. Our simulation study shows that the encompassing tests based on our new link …
Persistent link: https://www.econbiz.de/10012306501
Saved in:
3
Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
-
2020
nonstandard
asymptotic
theory
on
the
boundary
. Our simulation study shows that the encompassing tests based on our new link …
Persistent link: https://www.econbiz.de/10012300562
Saved in:
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