When comparing predictive distributions, forecasters are typically not equally interested in all regions of the outcome space. To address the demand for focused forecast evaluation, we propose a procedure to transform strictly proper scoring rules into their localized counterparts while...

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...

In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...