Pages that link to "Item:Q6158402"
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The following pages link to A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (Q6158402):
Displaying 5 items.
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- Assessing value at risk with CARE, the conditional autoregressive expectile models (Q302198) (← links)
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (Q1927130) (← links)
- Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution (Q2062348) (← links)