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Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step
  Forecasts based on Inference on the Boundary

Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary

15 September 2020
Timo Dimitriadis
Xiaochun Liu
Julie Schnaitmann
ArXiv (abs)PDFHTML

Papers citing "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary"

1 / 1 papers shown
Title
The Efficiency Gap
The Efficiency Gap
Timo Dimitriadis
Tobias Fissler
J. Ziegel
87
22
0
27 Oct 2020
1