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econ.EM2019
Testing Forecast Rationality for Measures of Central Tendency
Timo Dimitriadis, Andrew J. Patton, Patrick W. Schmidt
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean…
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…