Forecast encompassing tests for the expected shortfall

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DIMITRIADIS, Timo, Julie SCHNAITMANN, 2021. Forecast encompassing tests for the expected shortfall. In: International Journal of Forecasting. Elsevier. 37(2), pp. 604-621. ISSN 0169-2070. eISSN 1872-8200. Available under: doi: 10.1016/j.ijforecast.2020.07.008

@article{Dimitriadis2021-04Forec-53250, title={Forecast encompassing tests for the expected shortfall}, year={2021}, doi={10.1016/j.ijforecast.2020.07.008}, number={2}, volume={37}, issn={0169-2070}, journal={International Journal of Forecasting}, pages={604--621}, author={Dimitriadis, Timo and Schnaitmann, Julie} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:language>eng</dc:language> <dc:contributor>Dimitriadis, Timo</dc:contributor> <dcterms:issued>2021-04</dcterms:issued> <dspace:hasBitstream rdf:resource=""/> <dcterms:hasPart rdf:resource=""/> <dcterms:abstract xml:lang="eng">We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for international banking regulation. We utilize joint loss functions for the pair ES and Value at Risk to set up three ES encompassing test variants. The tests are built on an asymptotic theory that is robust to misspecifications. We investigate the finite sample properties of the tests in an extensive simulation study. Finally, we use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets.</dcterms:abstract> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:isPartOf rdf:resource=""/> <dc:creator>Dimitriadis, Timo</dc:creator> <bibo:uri rdf:resource=""/> <dcterms:rights rdf:resource=""/> <dc:date rdf:datatype="">2021-03-24T13:35:09Z</dc:date> <dc:contributor>Schnaitmann, Julie</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:rights>Attribution 4.0 International</dc:rights> <dcterms:available rdf:datatype="">2021-03-24T13:35:09Z</dcterms:available> <dcterms:title>Forecast encompassing tests for the expected shortfall</dcterms:title> <dc:creator>Schnaitmann, Julie</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> </rdf:Description> </rdf:RDF>

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