An energy-based measure for long-run horizon risk quantification (Q2158627): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10479-020-03609-5
+Normal rank
@@ Property / OpenAlex ID @@
+W3018588980
@@ Property / OpenAlex ID: W3018588980 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+On elicitable risk measures
@@ Property / cites work: On elicitable risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
+Normal rank
@@ Property / cites work @@
+Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis
+Normal rank
@@ Property / cites work @@
+Data-driven tight frame construction and image denoising
+Normal rank
@@ Property / cites work @@
+Robustness and sensitivity analysis of risk measurement procedures
+Normal rank
@@ Property / cites work @@
+Estimation of Tail Risk Based on Extreme Expectiles
+Normal rank
@@ Property / cites work @@
+Seven proofs for the subadditivity of expected shortfall
+Normal rank
@@ Property / cites work @@
+UNIT ROOT TESTS WITH WAVELETS
@@ Property / cites work: UNIT ROOT TESTS WITH WAVELETS / rank @@
+Normal rank
@@ Property / cites work @@
+The International CAPM and a Wavelet-Based Decomposition of Value at Risk
+Normal rank
@@ Property / cites work @@
+Higher order elicitability and Osband's principle
@@ Property / cites work: Higher order elicitability and Osband's principle / rank @@
+Normal rank
@@ Property / cites work @@
+Tail risk constraints and maximum entropy
@@ Property / cites work: Tail risk constraints and maximum entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Q2768756
@@ Property / cites work: Q2768756 / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of Conditional Predictive Ability
@@ Property / cites work: Tests of Conditional Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+Multiresolution analysis of S\&P500 time series
@@ Property / cites work: Multiresolution analysis of S\&P500 time series / rank @@
+Normal rank
@@ Property / cites work @@
+External Risk Measures and Basel Accords
@@ Property / cites work: External Risk Measures and Basel Accords / rank @@
+Normal rank
@@ Property / cites work @@
+Comparative and qualitative robustness for law-invariant risk measures
+Normal rank
@@ Property / cites work @@
+A theory for multiresolution signal decomposition: the wavelet representation
+Normal rank
@@ Property / cites work @@
+On the construction and frequency localization of finite orthogonal quadrature filters
+Normal rank
@@ Property / cites work @@
+Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
+Normal rank
@@ Property / cites work @@
+Q5480287
@@ Property / cites work: Q5480287 / rank @@
+Normal rank
@@ Property / cites work @@
+Wavelets in Economics and Finance: Past and Future
+Normal rank
@@ Property / cites work @@
+A new wavelet-based denoising algorithm for high-frequency financial data mining
+Normal rank
@@ Property / cites work @@
+COHERENCE AND ELICITABILITY
@@ Property / cites work: COHERENCE AND ELICITABILITY / rank @@
+Normal rank