In this paper, we propose a new family of multivariate loss functions that can be used to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by...

This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...

This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles are of interest. We primarily focus on methods that are relevant for dynamic time series data. The chapter is organized around two key...