Pages that link to "Item:Q2000869"
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The following pages link to Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869):
Displaying 36 items.
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- A regression analysis of expected shortfall (Q1747455) (← links)
- A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
- Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) (← links)
- Dynamic large financial networks \textit{via} conditional expected shortfalls (Q2076940) (← links)
- Risks in emerging markets equities: time-varying versus spatial risk analysis (Q2137671) (← links)
- Isotonic regression for elicitable functionals and their Bayes risk (Q2161182) (← links)
- Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches (Q2303338) (← links)
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons (Q2338545) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- PELVE: probability equivalent level of VaR and ES (Q2697992) (← links)
- Adjusted empirical likelihood for value at risk and expected shortfall (Q2979015) (← links)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245) (← links)
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
- Computation of expected shortfall by fast detection of worst scenarios (Q5014243) (← links)
- Backtesting expected shortfall and beyond (Q5014244) (← links)
- Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (Q5452737) (← links)
- Semiparametric modeling of multiple quantiles (Q6090581) (← links)
- Loss function-based change point detection in risk measures (Q6113344) (← links)
- Predicting the Global Minimum Variance Portfolio (Q6149858) (← links)
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (Q6158402) (← links)
- Observation-driven filtering of time-varying parameters using moment conditions (Q6193078) (← links)
- Inference for joint quantile and expected shortfall regression (Q6548879) (← links)
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
- Better the devil you know: improved forecasts from imperfect models (Q6573801) (← links)
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples (Q6581336) (← links)
- Multiple measures realized GARCH models (Q6614836) (← links)
- Two-step online estimation and inference for expected shortfall regression with streaming data (Q6618202) (← links)
- Realized Quantiles<sup>*</sup> (Q6620952) (← links)
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability (Q6626218) (← links)
- Powerful Backtests for Historical Simulation Expected Shortfall Models (Q6626253) (← links)
- Modeling Extreme Events: Time-Varying Extreme Tail Shape (Q6626257) (← links)
- Functional quantile autoregression (Q6664651) (← links)
