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Forecast Encompassing Tests for the Expected Shortfall
International Journal of Forecasting (IJF), 2019
13 August 2019
Timo Dimitriadis
Julie Schnaitmann
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Papers citing
"Forecast Encompassing Tests for the Expected Shortfall"
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The Efficiency Gap
Timo Dimitriadis
Tobias Fissler
J. Ziegel
347
23
0
27 Oct 2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
Social Science Research Network (SSRN), 2019
Timo Dimitriadis
Xiaochun Liu
Julie Schnaitmann
152
2
0
15 Sep 2020
1
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