Estimation methods for expected shortfall (Q2879025): Difference between revisions

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+Coherent Measures of Risk
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+Normal rank
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+Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution
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+Large-sample confidence intervals for risk measures of location-scale families
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+Modelling the financial risk associated with U.S. Movie box office earnings
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+Estimating conditional tail expectation with actuarial applications in view
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+Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
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+Nonparametric Risk Management With Generalized Hyperbolic Distributions
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+Upper comonotonicity
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+Normal rank
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+Option pricing for GARCH-type models with generalized hyperbolic innovations
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+Bayesian estimation of generalized hyperbolic skewed student GARCH models
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+Strategic long-term financial risks: single risk factors
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+Risk capital decomposition for a multivariate dependent gamma portfolio
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+Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
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+Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
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+Analytical Bounds for two Value-at-Risk Functionals
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+Distortion Risk Measures and Economic Capital
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+Fitting bivariate cumulative returns with copulas
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+A Skew Extension of the <i>T</i>-Distribution, with Applications
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+VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
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+The Variance Gamma Process and Option Pricing
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+Normal rank
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+On a multivariate gamma
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+Normal rank
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+Characterization of upper comonotonicity via tail convex order
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+Tables for Computing Bivariate Normal Probabilities
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+Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
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+On estimating the conditional expected shortfall
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+Normal rank
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+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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+Financial Data and the Skewed Generalized T Distribution
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+Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
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+Marginal Decomposition of Risk Measures
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+Normal rank
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+Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
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+Modeling chinese stock returns with stable distribution
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+A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
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+Properties and estimation of asymmetric exponential power distribution
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