Ziegel, Johanna F.; Krüger, Fabian; Jordan, Alexander Inigo; Fasciati, Fernando (2019). Robust Forecast Evaluation of Expected Shortfall. Journal of financial econometrics, 18(1), pp. 95-120. Oxford University Press 10.1093/jjfinec/nby035
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Motivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis of S&P 500 and DAX returns.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Ziegel, Johanna F., Jordan, Alexander Inigo |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics 500 Science > 510 Mathematics |
ISSN: |
1479-8409 |
Publisher: |
Oxford University Press |
Language: |
English |
Submitter: |
Johanna Ziegel |
Date Deposited: |
20 Mar 2019 17:05 |
Last Modified: |
05 Dec 2022 15:26 |
Publisher DOI: |
10.1093/jjfinec/nby035 |
BORIS DOI: |
10.7892/boris.126146 |
URI: |
https://boris.unibe.ch/id/eprint/126146 |