• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International journal of forecasting >Forecast combinations for value at risk and expected shortfall
【24h】

Forecast combinations for value at risk and expected shortfall

机译：预测风险价值和预期缺口的组合

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Combining provides a pragmatic way of synthesising the information provided by individual forecasting methods. In the context of forecasting the mean, numerous studies have shown that combining often leads to improvements in accuracy. Despite the importance of the value at risk (VaR), though, few papers have considered quantile forecast combinations. One risk measure that is receiving an increasing amount of attention is the expected shortfall (ES), which is the expectation of the exceedances beyond the VaR. There have been no previous studies on combining ES predictions, presumably due to there being no suitable loss function for ES. However, it has been shown recently that a set of scoring functions exist for the joint estimation or backtesting of VaR and ES forecasts. We use such scoring functions to estimate combining weights for VaR and ES prediction. The results from five stock indices show that combining outperforms the individual methods for the 1% and 5% probability levels. (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
机译：合并提供了一种实用的方式来综合由各个预测方法提供的信息。在预测均值的背景下，大量研究表明，结合通常可以提高准确性。尽管风险价值（VaR）的重要性，但很少有论文考虑过分位数预测组合。引起人们越来越多关注的一项风险衡量指标是预期的差额（ES），即对超出VaR的超出额的期望。之前尚无有关组合ES预测的研究，大概是由于没有适合ES的损失函数。但是，最近显示，存在一组计分函数，用于VaR和ES预测的联合估计或回测。我们使用这种评分功能来估计VaR和ES预测的组合权重。五种股票指数的结果表明，在1％和5％的概率水平下，组合的性能优于单个方法。 （C）2019国际预报员协会。由Elsevier B.V.发布。保留所有权利。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号