New forecast encompassing tests for Expected Shortfall, built on a joint VaR-ES loss function, with misspecification-robust asymptotics and simulation evidence of reasonable size and power.
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Forecast Encompassing Tests for the Expected Shortfall
New forecast encompassing tests for Expected Shortfall, built on a joint VaR-ES loss function, with misspecification-robust asymptotics and simulation evidence of reasonable size and power.