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20192026
most citedExpected Kullback-Leibler-based characterizations of score-driven updates

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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…