Backtesting systemic risk forecasts using multi-objective elicitability
Year of publication: |
2024
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Authors: | Fissler, Tobias ; Hoga, Yannick |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 2, p. 485-498
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Subject: | (Conditional) elicitability | Backtest | Forecasting | Identifiability | Lexicographic order | Multi-objective optimization | Systemic risk | Prognoseverfahren | Forecasting model | Systemrisiko | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Statistischer Test | Statistical test | Risikomaß | Risk measure | Theorie | Theory |
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