Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary

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SEEK ID: https://publications.h-its.org/publications/1381

Filename: 2023JFE.pdf 

Format: PDF document

Size: 781 KB

SEEK ID: https://publications.h-its.org/publications/1381

DOI: 10.1093/jjfinec/nbab004

Research Groups: Computational Statistics

Publication type: Journal

Journal: Journal of Financial Econometrics

Publisher: Oxford University Press (OUP)

Citation: Journal of Financial Econometrics, 21(2):412–444

Date Published: 1st Apr 2023

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Registered Mode: manually

Authors: Timo Dimitriadis, Xiaochun Liu, Julie Schnaitmann

Citation
Dimitriadis, T., Liu, X., & Schnaitmann, J. (2021). Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary. In Journal of Financial Econometrics (Vol. 21, Issue 2, pp. 412–444). Oxford University Press (OUP). https://doi.org/10.1093/jjfinec/nbab004
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Created: 10th Dec 2021 at 13:51

Last updated: 8th Mar 2024 at 15:40

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