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Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F. - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10013120348
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Proper scoring rules for evaluating density forecasts with asymmetric loss functions
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 482-496
Persistent link: https://www.econbiz.de/10014448252