2 papers
econ.EM2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
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. Our setup allows test…
q-fin.RM2019
Forecast Encompassing Tests for the Expected Shortfall
Timo Dimitriadis, Julie Schnaitmann
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Acco…