Elicitability of Range Value at Risk
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- Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Sep 2019.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2019-02-18 (Risk Management)
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