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   Articles with "forecast encompassing" as a keyword



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Forecast encompassing tests for the expected shortfall

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recommendations! Published in 2021 at "International Journal of Forecasting"

DOI: 10.1016/j.ijforecast.2020.07.008

Abstract: Abstract We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES has received much attention since its introduction into the Basel III Accords, which stipulate its use as the primary… read more here.

Keywords: forecast encompassing; encompassing tests; expected shortfall; tests expected ... See more keywords