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Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary [Previous title : "A Regression-based Joint Encompassing Test fo...

Dimitriadis, Timo - 2020

We propose forecast encompassing tests for the Expected Shortfall (ES) jointlywith the Value at Risk (VaR) based on flexible link (or combination) functions.Our setup allows testing encompassing for convex forecast combinations and forlink functions which preclude crossings of the combined VaR...

Persistent link: https://www.econbiz.de/10012846432

Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary

Dimitriadis, Timo; Liu, Xiaochun; Schnaitmann, Julie - 2020

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functions which preclude crossings of the combined...

Persistent link: https://www.econbiz.de/10012300562

Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary

Dimitriadis, Timo; Liu, Xiaochun; Schnaitmann, Julie - 2020

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functions which preclude crossings of the combined...

Persistent link: https://www.econbiz.de/10012306501