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- W3125571775 abstract "We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for the 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 misspecification robust asymptotic theory and we investigate the finite sample properties of the tests in an extensive simulation study. We use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets." @default.
- W3125571775 created "2021-02-01" @default.
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- W3125571775 date "2019-01-01" @default.
- W3125571775 modified "2023-09-27" @default.
- W3125571775 title "Forecast Encompassing Tests for the Expected Shortfall" @default.
- W3125571775 hasPublicationYear "2019" @default.
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