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

dc.contributor.authorSchnaitmann, Juliede
dc.contributor.authorLiu, Xiaochunde
dc.contributor.authorDimitriadis, Timode
dc.date.accessioned2024-04-08T08:59:44Z
dc.date.available2024-04-08T08:59:44Z
dc.date.created2020-10-20
dc.date.issued2020
dc.description.abstractWe 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.swb173605743X
dc.identifier.urihttps://hohpublica.uni-hohenheim.de/handle/123456789/6547
dc.identifier.urnurn:nbn:de:bsz:100-opus-18131
dc.language.isoeng
dc.relation.ispartofseriesHohenheim discussion papers in business, economics and social sciences; 2020,11
dc.rights.licensepubl-mit-poden
dc.rights.licensepubl-mit-podde
dc.rights.urihttp://opus.uni-hohenheim.de/doku/lic_mit_pod.php
dc.subjectAsymptotic theory on the boundaryen
dc.subjectJoint elicitabilityen
dc.subjectMulti-step ahead and aggregate forecastsen
dc.subjectForecast evaluation and combinationsen
dc.subject.ddc330
dc.subject.gndPrognosede
dc.subject.gndValue at riskde
dc.titleEncompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundaryde
dc.type.dcmiTextde
dc.type.diniWorkingPaperde
local.accessuneingeschränkter Zugriffen
local.accessuneingeschränkter Zugriffde
local.bibliographicCitation.publisherPlaceUniversität Hohenheimde
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.bibtexAuthorSchnaitmann, Julie and Liu, Xiaochun and Dimitriadis, Timo et al.
local.export.bibtexKeySchnaitmann2020
local.export.bibtexType@techreport
local.faculty.number3de
local.institute.number520de
local.opus.number1813
local.series.issueNumber2020,11
local.series.titleHohenheim discussion papers in business, economics and social sciences
local.universityUniversität Hohenheimde
local.university.facultyFaculty of Business, Economics and Social Sciencesen
local.university.facultyFakultät Wirtschafts- und Sozialwissenschaftende
local.university.instituteInstitute for Economicsen
local.university.instituteInstitut für Volkswirtschaftslehrede

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