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Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (arXiv:2009.07341v1 [econ.EM]) http://arxiv.org/abs/2009.07341
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (arXiv:2009.07341v1 [econ.EM]) http://arxiv.org/abs/2009.07341