Results 281 to 289 of about 126,314 (289)
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Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation
Computational Statistics and Data Analysis, 2016Sangyeol Lee
exaly
Estimation methods for expected shortfall
Quantitative Finance, 2014Saralees Nadarajah, Stephen Chan
exaly
Forecast combinations for value at risk and expected shortfall
International Journal of Forecasting, 2020exaly
Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
International Journal of Forecasting, 2010Lennart Hoogerheide +1 more
exaly
Backtesting extreme value theory models of expected shortfall
Quantitative Finance, 2019Alfonso Novales, Laura Garcia-Jorcano
exaly
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
European Journal of Operational Research, 2020exaly
Conditional VAR and Expected Shortfall: A New Functional Approach
Econometric Reviews, 2016Alejandro Quintela-del-Rio
exaly
On the significance of expected shortfall as a coherent risk measure
Journal of Banking and Finance, 2005exaly