DM tests using two loss functions for VaR forecasts, whereas the results of the backtesting procedures are inconsistent …

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES … assumption that allows for a simple computation of daily VaR and ES by scaling up their intraday counterparts computed from data … VaR and ES estimates and show that our method outperforms standard ones in accurately estimating and forecasting VaR and …