Forecast encompassing tests for the expected shortfall
نویسندگان
چکیده
Abstract We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into Basel III Accords, which stipulate use as primary market international banking regulation. utilize joint loss functions pair and Value at Risk to set up three test variants. are built on an asymptotic theory that is robust misspecifications. investigate finite sample properties of in extensive simulation study. Finally, we illustrate potential combination methods different financial assets.
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2021
ISSN: ['1872-8200', '0169-2070']
DOI: https://doi.org/10.1016/j.ijforecast.2020.07.008