Less disagreement, better forecasts: Adjusted risk measures in the energy futures market
提出一个通用调整框架，用于改进多种风险预测模型的市场风险预测，在能源商品市场中验证了该框架能提升预测性能并减少模型间的分歧。
Abstract This paper develops a generic adjustment framework to improve in the market risk forecasts of diverse risk forecasting models, which indicates the degree to which risk is under‐ and overestimated. In the context of the energy commodity market, a market in which tail risk management is of crucial importance, the empirical analysis shows that after this adjustment framework is applied, the forecasting performance of various risk models generally improves, as verified by a battery of backtesting methods. Additionally, our method also lessens the risk model disagreement among post‐adjusted risk forecasts.