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.

forecasting, forecast evaluation, value-at-risk, expected shortfall, parameter uncertainty.
D.J.C. van Dijk (Dick) , H.J.W.G. Kole (Erik)
Erasmus University Rotterdam
978-90-361-0543-9
hdl.handle.net/1765/115140
Tinbergen Instituut Research Series
For copyright reasons there is a partial embargo for this dissertation
Department of Econometrics

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