Forecast encompassing tests for the expected shortfall

被引：6

作者：

Dimitriadis, Timo ^{[1
]}

Schnaitmann, Julie ^{[2
]}

机构：

[1] Univ Hohenheim, Inst Econ, Heidelberg Inst Theoret Studies, Stuttgart, Germany

[2] Univ Konstanz, Dept Econ, Constance, Germany

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2021年 / 37卷 / 02期

关键词：

Evaluating forecasts; Combining forecasts; Loss function; Model selection; Statistical tests; MODELS; RISK; QUANTILE; ELICITABILITY; COMBINATION;

D O I：

10.1016/j.ijforecast.2020.07.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for 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 an asymptotic theory that is robust to misspecifications. We investigate the finite sample properties of the tests in an extensive simulation study. Finally, we use the encompassing tests to illustrate the potential of forecast combination methods for different financial assets. (C) 2020 The Author(s). Published by Elsevier B.V. on behalf of International Institute of Forecasters.

引用

页码：604 / 621

页数：18

共 58 条

[1] Estimation when a parameter is on a boundary [J].