Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
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- Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
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Cited by:
- Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
- Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023.
"Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
- Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
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More about this item
Keywords
expected shortfall; backtesting; risk management; tail risk; Value-at-Risk;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-09-02 (Econometrics)
- NEP-ETS-2019-09-02 (Econometric Time Series)
- NEP-RMG-2019-09-02 (Risk Management)
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