Search Results - subject:"forecast evaluation and combinations"

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

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

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functions which preclude crossings of the combined...

Persistent link: https://www.econbiz.de/10012306501

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

Persistent link: https://www.econbiz.de/10012300562