Decision Sciences
4 years ago

Estimation error in risk prediction could impact stock market investments significantly.

RePEc: Research Papers in Economics
On the role of the estimation error in prediction of expected shortfall
Carl Lönnbark

Paper Summary

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The article discusses how estimation errors can affect predictions of Expected Shortfall, a measure of financial risk. Short estimation windows can lead to significant errors in risk estimation. The researchers show how these errors impact the accuracy of risk predictions and emphasize the practical importance of considering estimation errors in financial decision-making.