no code implementations • 15 Sep 2020 • Timo Dimitriadis, Xiaochun Liu, Julie Schnaitmann
We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions.
no code implementations • 13 Aug 2019 • Timo Dimitriadis, Julie Schnaitmann
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES).