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Forecast Encompassing Tests for the Expected Shortfall
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Forecast Encompassing Tests for the Expected Shortfall

Timo Dimitriadis
Julie Schnaitmann
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Papers citing "Forecast Encompassing Tests for the Expected Shortfall"

3 / 3 papers shown
Title
A Joint Quantile and Expected Shortfall Regression Framework
A Joint Quantile and Expected Shortfall Regression Framework
Timo Dimitriadis
Sebastian Bayer
36
52
0
07 Apr 2017
Higher order elicitability and Osband's principle
Higher order elicitability and Osband's principle
Tobias Fissler
J. Ziegel
59
328
0
27 Mar 2015
Making and Evaluating Point Forecasts
Making and Evaluating Point Forecasts
T. Gneiting
119
1,055
0
04 Dec 2009