TY  - GEN
T3  - Discussion Paper Series, University of Heidelberg, Department of Economics
Y1  - 2017/05/12/
ID  - heidok22950
AV  - public
TI  - Murphy Diagrams: Forecast Evaluation of Expected Shortfall
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/22950/
N2  - 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
of S&P 500 and DAX returns.
A1  - Ziegel, Johanna F.
A1  - Krueger, Fabian
A1  - Jordan, Alexander
A1  - Fasciati, Fernando
ER  -