Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary

no code implementations • 15 Sep 2020 • Timo Dimitriadis, Xiaochun Liu, Julie Schnaitmann

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions.

Forecast Encompassing Tests for the Expected Shortfall

no code implementations • 13 Aug 2019 • Timo Dimitriadis, Julie Schnaitmann

We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES).