Code and Data

R packages for Encompassing Tests for the Expected Shortfall

esregression R package

• Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates with link functions . This is an extension of the esreg R package created by Sebastian Bayer.

esencmp R package

• Runs ES encompassing tests for competing forecasts. It contains the tests proposed in Dimitriadis and Schnaitmann (2021). It allows for different link functions and testing on the boundary as in Dimitriadis, Liu and Schnaitmann (2021+).

Forecast Encompassing Tests for the Expected Shortfall (with Timo Dimitriadis) - International Journal of Forecasting (2021)

Replication code for the simulation study and the empirical application.

Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary (with Timo Dimitriadis and Xiaochun Liu) - forthcoming in Journal of Financial Econometrics

Replication code for the simulation study.