Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary

15 September 2020

Papers citing "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary"

2 / 2 papers shown

Title
A Joint Quantile and Expected Shortfall Regression Framework Timo Dimitriadis Sebastian Bayer 46 52 0 07 Apr 2017
Making and Evaluating Point Forecasts T. Gneiting 119 1,055 0 04 Dec 2009