HIGHLIGHTS
- who: JEL classification C and colleagues from the Department of Economics, University of Oxford, and Nuffield College, University of Oxford have published the Article: Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*, in the Journal: (JOURNAL) of April/17,/2019
- what: The authors investigate the effect of estimation error on backtests of expected shortfall (ES) forecasts. For both single and multiperiod horizons the authors provide explicit expressions for the additional terms in the asymptotic covariance matrix that result from estimation error and propose robust tests that account for it. The . . .
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