Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability

DOI10.1080/07350015.2023.2200514zbMATH Open1547.6272MaRDI QIDQ6626218

Yannick Hoga, Tobias Fissler

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Making and Evaluating Point Forecasts
• Higher order elicitability and Osband's principle
• Volatility forecast comparison using imperfect volatility proxies
• Handbook of econometrics. Volume 2
• Elicitability and backtesting: perspectives for banking regulation
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Order-sensitivity and equivariance of scoring functions
• On elicitable risk measures
• Tests of Conditional Predictive Ability
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
• Conditional Extremes in Asymmetric Financial Markets
• Comparing Possibly Misspecified Forecasts

Related Items (1)

Game-theoretic statistical inference: optional sampling, universal inference, and multiple testing based on e-values. Abstracts from the workshop held May 5--10, 2024

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