On Testing Equal Conditional Predictive Ability Under Measurement Error
Loss functions are widely used to compare several competing forecasts. However, forecast comparisons are often based on mismeasured proxy variables for the true target. We introduce the concept of …
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Systemic risk measures such as CoVaR, CoES, and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identi…
Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models
ARMA–GARCH models are widely used to model the conditional mean and conditional variance dynamics of returns on risky assets. Empirical results suggest heavy-tailed innovations with positive extr…
Extremal Dependence-Based Specification Testing of Time Series
We propose a specification test for conditional location–scale models based on extremal dependence properties of the standardized residuals. We do so comparing the left-over serial extremal depen…
Monitoring Value-at-Risk and Expected Shortfall Forecasts
This paper introduces formal monitoring procedures as a risk-management tool. Continuously monitoring risk forecasts allows practitioners to swiftly review and update their forecasting procedures a…
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