Dynamic CoVaR Modeling and Estimation

Cites work

A joint quantile and expected shortfall regression framework
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
An Oracle Inequality for Multivariate Dynamic Quantile Forecasting
ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE
ASYMPTOTIC THEORY FOR SOME HIGH BREAKDOWN POINT ESTIMATORS
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Characterizing M-estimators
Conditional Extremes in Asymmetric Financial Markets
Covar of families of copulas
Dynamic models for volatility and heavy tails. With applications to financial and economic time series
Dynamic semiparametric models for expected shortfall (and value-at-risk)
Estimating multivariate volatility models equation by equation
Estimating the stable index in order to measure tail thickness: a critique
scientific article; zbMATH DE number 2199188 (Why is no real title available?)
Inference on dynamic systemic risk measures
Making and evaluating point forecasts
Multivariate variance targeting in the BEKK-GARCH model
Negative volatility spillovers in the unrestricted ECCC-GARCH model
Nonlinear Regression on Cross-Section Data
On dependence consistency of CoVaR and some other systemic risk measures
On loss functions and ranking forecasting performances of multivariate volatility models
Realized Quantiles^*
Robust ranking of multivariate GARCH models by problem dimension
Semiparametric modeling of multiple quantiles
Sequential estimation of shape parameters in multivariate dynamic models
Systemic risk-driven portfolio selection
The estimation risk in extreme systemic risk forecasts
The Model Confidence Set
VAR for VaR: measuring tail dependence using multivariate regression quantiles

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