<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall"^^ . "Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently available, which renders the choice of scoring function awkward in practice. We therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of scoring functions, and propose an associated hypothesis test. We illustrate these tools with simulation examples and an empirical analysis\r\nof S&P 500 and DAX returns."^^ . "2017-05-12" . . . "0632" . . . . . . . . . . . . . . "Fabian"^^ . "Krueger"^^ . "Fabian Krueger"^^ . . "Alexander"^^ . "Jordan"^^ . "Alexander Jordan"^^ . . "Fernando"^^ . "Fasciati"^^ . "Fernando Fasciati"^^ . . "Johanna F."^^ . "Ziegel"^^ . "Johanna F. Ziegel"^^ . . . . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (PDF)"^^ . . . "__ad.uni-heidelberg.de_wiso_u.arnold_Desktop_Murphy Diagrams Forecast Evaluation of Expected Shortfall.pdf"^^ . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (Other)"^^ . . . . . . "indexcodes.txt"^^ . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Murphy Diagrams: Forecast Evaluation of Expected Shortfall (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #22950 \n\nMurphy Diagrams: Forecast Evaluation of Expected Shortfall\n\n" . "text/html" . . . "330 Wirtschaft"@de . "330 Economics"@en . .