2019-02-28
In and Outside the Tails: Making and Evaluating Forecasts
Publication
Publication
In en buiten de staarten: Het maken en evalueren van voorspellingen
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 | |
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| , , , , | |
| D.J.C. van Dijk (Dick) , H.J.W.G. Kole (Erik) | |
| Erasmus University Rotterdam | |
| hdl.handle.net/1765/115140 | |
| Tinbergen Instituut Research Series | |
| Organisation | Department of Econometrics |
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Barendse, S. (2019, February 28). In and Outside the Tails: Making and Evaluating Forecasts (No. 735). Tinbergen Instituut Research Series. Retrieved from http://hdl.handle.net/1765/115140 |
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