Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
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| Main Authors: | , , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
2023
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| In: |
Journal of financial econometrics
Year: 2023, Volume: 21, Issue: 2, Pages: 412-444 |
| ISSN: | 1479-8417 |
| DOI: | 10.1093/jjfinec/nbab004 |
| Subjects: | |
| Online Access: | Verlag, lizenzpflichtig: https://academic.oup.com/jfec/article-pdf/21/2/412/49676588/nbab004.pdf Resolving-System, lizenzpflichtig: https://doi.org/10.1093/jjfinec/nbab004 
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| Author Notes: | Timo Dimitriadis, Xiaochun Liu and Julie Schnaitmann |
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