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• W3089705587 abstract "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." @default.
• W3089705587 created "2020-10-08" @default.
• W3089705587 creator A5066419628 @default.
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• W3089705587 date "2021-04-01" @default.
• W3089705587 modified "2023-09-27" @default.
• W3089705587 title "Forecast encompassing tests for the expected shortfall" @default.
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• W3089705587 doi "https://doi.org/10.1016/j.ijforecast.2020.07.008" @default.
• W3089705587 hasPublicationYear "2021" @default.
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