Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary

Schnaitmann, Julie; Liu, Xiaochun; Dimitriadis, Timo

Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary

dc.contributor.author	Schnaitmann, Julie	de
dc.contributor.author	Liu, Xiaochun	de
dc.contributor.author	Dimitriadis, Timo	de
dc.date.accessioned	2024-04-08T08:59:44Z
dc.date.available	2024-04-08T08:59:44Z
dc.date.created	2020-10-20
dc.date.issued	2020
dc.description.abstract	We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functions which preclude crossings of the combined VaR and ES forecasts. As the tests based on these link functions involve parameters which are on the boundary of the parameter space under the null hypothesis, we derive and base our tests on nonstandard asymptotic theory on the boundary. Our simulation study shows that the encompassing tests based on our new link functions outperform tests based on unrestricted linear link functions for one-step and multi-step forecasts. We further illustrate the potential of the proposed tests in a real data analysis for forecasting VaR and ES of the S&P 500 index.	en
dc.identifier.swb	173605743X
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/6547
dc.identifier.urn	urn:nbn:de:bsz:100-opus-18131
dc.language.iso	eng
dc.relation.ispartofseries	Hohenheim discussion papers in business, economics and social sciences; 2020,11
dc.rights.license	publ-mit-pod	en
dc.rights.license	publ-mit-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subject	Asymptotic theory on the boundary	en
dc.subject	Joint elicitability	en
dc.subject	Multi-step ahead and aggregate forecasts	en
dc.subject	Forecast evaluation and combinations	en
dc.subject.ddc	330
dc.subject.gnd	Prognose	de
dc.subject.gnd	Value at risk	de
dc.title	Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.export.bibtex	@techreport{Schnaitmann2020, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/6547}, author = {Schnaitmann, Julie and Liu, Xiaochun and Dimitriadis, Timo et al.}, title = {Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary}, year = {2020}, school = {Universität Hohenheim}, series = {Hohenheim discussion papers in business, economics and social sciences}, }
local.export.bibtexAuthor	Schnaitmann, Julie and Liu, Xiaochun and Dimitriadis, Timo et al.
local.export.bibtexKey	Schnaitmann2020
local.export.bibtexType	@techreport
local.faculty.number	3	de
local.institute.number	520	de
local.opus.number	1813
local.series.issueNumber	2020,11
local.series.title	Hohenheim discussion papers in business, economics and social sciences
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de

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