Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Year of publication: |
2023
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Authors: | Dimitriadis, Timo ; Liu, Xiaochun ; Schnaitmann, Julie |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 2, p. 412-444
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Subject: | asymptotic theory on the boundary | joint elicitability | multistep ahead and aggregate forecasts | forecast evaluation and combinations | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure |
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