eprintid: 22950
rev_number: 14
eprint_status: archive
userid: 3114
dir: disk0/00/02/29/50
datestamp: 2017-05-12 12:39:47
lastmod: 2017-09-05 17:07:01
status_changed: 2017-05-12 12:39:47
type: workingPaper
metadata_visibility: show
creators_name: Ziegel, Johanna F.
creators_name: Krueger, Fabian
creators_name: Jordan, Alexander
creators_name: Fasciati, Fernando
title: Murphy Diagrams: Forecast Evaluation of Expected Shortfall
subjects: 330
divisions: 181000
abstract: 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.
date: 2017-05-12
id_scheme: DOI
id_number: 10.11588/heidok.00022950
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0632
ppn_swb: 890702705
own_urn: urn:nbn:de:bsz:16-heidok-229502
language: eng
bibsort: ZIEGELJOHAMURPHYDIAG20170512
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0632
citation:   Ziegel, Johanna F. ; Krueger, Fabian ; Jordan, Alexander ; Fasciati, Fernando  (2017) Murphy Diagrams: Forecast Evaluation of Expected Shortfall.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/22950/1/__ad.uni-heidelberg.de_wiso_u.arnold_Desktop_Murphy%20Diagrams%20Forecast%20Evaluation%20of%20Expected%20Shortfall.pdf