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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…
econ.EM2019
A Regularized Factor-augmented Vector Autoregressive Model
Maurizio Daniele, Julie Schnaitmann
We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset…