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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
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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
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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/10012306501
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Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
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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
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Measuring systemic risk with regime switching in tails
Liu, Xiaochun - In: Economic modelling 67 (2017), pp. 55-72
Persistent link: https://www.econbiz.de/10011813772
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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
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On tail fatness of macroeconomic dynamics
Liu, Xiaochun - In: Journal of macroeconomics 62 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012243478
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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
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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