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- W3121390131 abstract "Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis of S&P 500 and DAX returns." @default.
- W3121390131 created "2021-02-01" @default.
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- W3121390131 date "2017-05-12" @default.
- W3121390131 modified "2023-09-27" @default.
- W3121390131 title "Murphy Diagrams: Forecast Evaluation of Expected Shortfall" @default.
- W3121390131 hasPublicationYear "2017" @default.
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