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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/10012300562

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

An integrated macro-financial risk-based approach to the stressed capital requirement

Liu, Xiaochun - In: Review of financial economics : RFE 34 (2017), pp. 86-98

Persistent link: https://www.econbiz.de/10011876797

Unfolded risk-return trade-offs and links to Macroeconomic Dynamics

Liu, Xiaochun - In: Journal of banking & finance 82 (2017), pp. 1-19

Persistent link: https://www.econbiz.de/10011816457

Quantile-based asymmetric dynamics of real GDP growth

Liu, Xiaochun - In: Macroeconomic dynamics 24 (2020) 8, pp. 1960-1988

Persistent link: https://www.econbiz.de/10012404222

On fiscal and monetary policy-induced macroeconomic volatility dynamics

Liu, Xiaochun - In: Journal of economic dynamics & control 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012668875

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Unfolded GARCH models

Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217

Persistent link: https://www.econbiz.de/10011574655

Foreign exchange predictability and the carry trade : a decomposition approach

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 42 (2017), pp. 199-211

Persistent link: https://www.econbiz.de/10011808567

A new approach to risk-return trade-off dynamics via decomposition

Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55

Persistent link: https://www.econbiz.de/10011708149

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