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09/15/2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
We propose forecast encompassing tests for the Expected Shortfall (ES) j...
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12/12/2019
A Regularized Factor-augmented Vector Autoregressive Model
We propose a regularized factor-augmented vector autoregressive (FAVAR) ...
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08/13/2019
