In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent...

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...