Buchumschlag

Murphy diagrams: forecast evaluation of expected shortfall

Motivated by the Basel 3 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, whic...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Ziegel, Johanna (VerfasserIn) , Krüger, Fabian (VerfasserIn) , Jordan, Alexander I. (VerfasserIn)
Dokumenttyp: Buch/Monographie Arbeitspapier
Sprache:Englisch
Veröffentlicht: Heidelberg University of Heidelberg, Department of Economics May 12, 2017
Schriftenreihe:Discussion paper series / University of Heidelberg, Department of Economics no. 632
In: Discussion paper series (no. 632)

DOI:10.11588/heidok.00022950
Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang:Resolving-System, kostenfrei, Volltext: http://dx.doi.org/10.11588/heidok.00022950
Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-229502
Resolving-System, kostenfrei, Volltext: https://doi.org/10.11588/heidok.00022950
Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/162975
Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/22950/
Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/22906/1/bell_hattlebakk_2017_dp631.pdf
Volltext
Verfasserangaben:Johanna F. Ziegel; Fabian Krueger; Alexander Jordan; Fernando Fasciati

MARC

LEADER 00000cam a2200000 c 4500
001 890702705
003 DE-627
005 20250306215110.0
007 cr uuu---uuuuu
008 170905s2017 gw |||||o 00| ||eng c
024 7 |a urn:nbn:de:bsz:16-heidok-229502  |2 urn 
024 7 |a 10.11588/heidok.00022950  |2 doi 
024 7 |a 10419/162975  |2 hdl 
035 |a (DE-627)890702705 
035 |a (DE-576)493233717 
035 |a (DE-599)GBV890702705 
035 |a (OCoLC)1006736510 
040 |a DE-627  |b ger  |c DE-627  |e rda 
041 |a eng 
044 |c XA-DE 
082 0 4 |a 330 
084 |a 17  |2 sdnb 
084 |a C52  |a C53  |a G17  |2 jelc 
100 1 |a Ziegel, Johanna  |d 1981-  |e VerfasserIn  |0 (DE-588)1139311824  |0 (DE-627)897078446  |0 (DE-576)493233725  |4 aut 
245 1 0 |a Murphy diagrams: forecast evaluation of expected shortfall  |c Johanna F. Ziegel; Fabian Krueger; Alexander Jordan; Fernando Fasciati 
264 1 |a Heidelberg  |b University of Heidelberg, Department of Economics  |c May 12, 2017 
300 |a 1 Online-Ressource (19 Seiten) 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
490 1 |a Discussion paper series / University of Heidelberg, Department of Economics  |v no. 632 
520 |a Motivated by the Basel 3 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 (Murphy diagrams) 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. 
650 4 |a Forecasting  |7 (dpeaa)DE-206 
650 4 |a Expected Shortfall  |7 (dpeaa)DE-206 
655 4 |0 (DE-206)24  |a Arbeitspapier  |5 DE-206 
655 4 |0 (DE-206)34  |a Graue Literatur  |5 DE-206 
700 1 |a Krüger, Fabian  |e VerfasserIn  |0 (DE-588)1047560887  |0 (DE-627)778555887  |0 (DE-576)401160637  |4 aut 
700 1 |a Jordan, Alexander I.  |e VerfasserIn  |0 (DE-588)1027203264  |0 (DE-627)72857747X  |0 (DE-576)372589928  |4 aut 
810 2 |a Universität Heidelberg  |b Wirtschaftswissenschaftliche Fakultät  |t Discussion paper series  |v no. 632  |9 63200  |w (DE-627)505754274  |w (DE-576)281296995  |w (DE-600)2217357-2  |7 am 
856 4 0 |u http://dx.doi.org/10.11588/heidok.00022950  |x Resolving-System  |z kostenfrei  |3 Volltext 
856 4 0 |u http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-229502  |q application/pdf  |x Resolving-System  |z kostenfrei  |3 Volltext 
856 4 0 |u https://doi.org/10.11588/heidok.00022950  |x Resolving-System  |z kostenfrei  |3 Volltext 
856 4 0 |u http://hdl.handle.net/10419/162975  |x Resolving-System  |z kostenfrei  |3 Volltext 
856 4 0 |u http://archiv.ub.uni-heidelberg.de/volltextserver/22950/  |x Verlag  |z kostenfrei  |3 Volltext 
856 4 0 |u http://archiv.ub.uni-heidelberg.de/volltextserver/22906/1/bell_hattlebakk_2017_dp631.pdf  |x Verlag  |z kostenfrei  |3 Volltext 
951 |a BO 
992 |a 20170905 
993 |a WorkingPaper 
994 |a 2017 
998 |g 1027203264  |a Jordan, Alexander  |m 1027203264:Jordan, Alexander  |p 2 
998 |g 1047560887  |a Krüger, Fabian  |m 1047560887:Krüger, Fabian  |p 1  |x j 
999 |a KXP-PPN890702705  |e 3380641642 
BIB |a Y 
JSO |a {"recId":"890702705","language":["eng"],"type":{"media":"Online-Ressource","bibl":"book"},"physDesc":[{"extent":"1 Online-Ressource (19 Seiten)"}],"relMultPart":[{"id":{"hdl":["10419/127204"],"eki":["505754274"],"zdb":["2217357-2"]},"origin":[{"publisherPlace":"Heidelberg","dateIssuedKey":"2000","publisher":"[Verlag nicht ermittelbar]","dateIssuedDisp":"2000-2020"}],"dispAlt":"Universität Heidelberg / Wirtschaftswissenschaftliche Fakultät: Discussion paper series","physDesc":[{"extent":"Online-Ressource"}],"title":[{"title":"Discussion paper series / University of Heidelberg, Department of Economics","title_sort":"Discussion paper series / University of Heidelberg, Department of Economics"}],"part":{"number":["no. 632"],"number_sort":["63200"]},"titleAlt":[{"title":"AWI discussion paper series"},{"title":"Discussion papers online"}],"pubHistory":["Nr. 326.2000-no. 691 (2020)"],"corporate":[{"role":"aut","display":"Universität Heidelberg","roleDisplay":"VerfasserIn"},{"display":"Alfred-Weber-Institut für Wirtschaftswissenschaften","roleDisplay":"Herausgebendes Organ","role":"isb"}],"language":["ger","eng"],"recId":"505754274","note":["Frühere Jahrgänge online nicht mehr verfügbar","Gesehen am 01.12.2020"],"disp":"Discussion paper series / University of Heidelberg, Department of Economics","type":{"bibl":"serial","media":"Online-Ressource"}}],"name":{"displayForm":["Johanna F. Ziegel; Fabian Krueger; Alexander Jordan; Fernando Fasciati"]},"person":[{"display":"Ziegel, Johanna","roleDisplay":"VerfasserIn","role":"aut","family":"Ziegel","given":"Johanna"},{"family":"Krüger","given":"Fabian","display":"Krüger, Fabian","roleDisplay":"VerfasserIn","role":"aut"},{"display":"Jordan, Alexander I.","roleDisplay":"VerfasserIn","role":"aut","family":"Jordan","given":"Alexander I."}],"id":{"uri":["urn:nbn:de:bsz:16-heidok-229502"],"hdl":["10419/162975"],"doi":["10.11588/heidok.00022950"],"eki":["890702705"]},"title":[{"title":"Murphy diagrams: forecast evaluation of expected shortfall","title_sort":"Murphy diagrams: forecast evaluation of expected shortfall"}],"origin":[{"dateIssuedDisp":"May 12, 2017","publisher":"University of Heidelberg, Department of Economics","dateIssuedKey":"2017","publisherPlace":"Heidelberg"}]} 
SRT |a ZIEGELJOHAMURPHYDIAG1220 

Ähnliche Einträge