This dissertation contains three essays in time series econometrics. Special attention is paid to risk measures such as Value-at-Risk and Expected Shortfall, and tail events in general. A new estimator for Expected Shortfall is proposed, as well as out-of-sample tests of correct specification and comparative predictive ability. Applications in the book cover the impact of tail events on abnormal returns, the ranking of Value-at-Risk forecasts for stock portfolios, the ranking of portfolio strategies in terms of expected utility, and the effect of estimation error on Expected Shortfall tests.

Additional Metadata
Keywords forecasting, forecast evaluation, value-at-risk, expected shortfall, parameter uncertainty.
Promotor D.J.C. van Dijk (Dick) , H.J.W.G. Kole (Erik)
Publisher Erasmus University Rotterdam
ISBN 978-90-361-0543-9
Persistent URL hdl.handle.net/1765/115140
Series Tinbergen Instituut Research Series
Note For copyright reasons there is a partial embargo for this dissertation
Citation
Barendse, S.C. (2019, February 28). In and Outside the Tails: Making and Evaluating Forecasts (No. 735). Tinbergen Instituut Research Series. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/115140