Monitoring Value-at-Risk and Expected Shortfall Forecasts

Yannick Hoga
Corresponding Author
Yannick Hoga
[email protected]
https://orcid.org/0000-0002-6332-5561
Faculty of Economics and Business Administration, University of Duisburg-Essen, D–45117 Essen, Germany;
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,
Matei Demetrescu
Matei Demetrescu
[email protected]
https://orcid.org/0000-0003-0815-5384
Department of Statistics, TU Dortmund University, D–44221 Dortmund, Germany
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Corresponding Author

Yannick Hoga

[email protected]

https://orcid.org/0000-0002-6332-5561

Faculty of Economics and Business Administration, University of Duisburg-Essen, D–45117 Essen, Germany;

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,

Matei Demetrescu

Matei Demetrescu

[email protected]

https://orcid.org/0000-0003-0815-5384

Department of Statistics, TU Dortmund University, D–44221 Dortmund, Germany

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Published Online:21 Jun 2022https://doi.org/10.1287/mnsc.2022.4460

Supplemental Material

mnsc.2022.4460.sm1.pdf

The replication files for this article are available HERE.

cover image Management Science

Volume 69, Issue 5

May 2023

Pages 2547-3155, iii-iv

Article Information

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Received:May 19, 2021
Accepted:January 24, 2022
Published Online:June 21, 2022

Copyright © 2022, INFORMS

Cite as

Yannick Hoga, Matei Demetrescu (2022) Monitoring Value-at-Risk and Expected Shortfall Forecasts. Management Science 69(5):2954-2971.

https://doi.org/10.1287/mnsc.2022.4460

Keywords

Acknowledgments

The authors are indebted to two referees and the associate editor for their suggestions that significantly improved the quality of the paper. The authors also thank Jörg Breitung, Robin Kruse-Becher, and Karl Mosler for helpful comments. A major part of the work on this paper took place while the second author was affiliated with the University of Kiel.