Forecasting and backtesting gradient allocations of expected shortfall
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Cites work
- scientific article; zbMATH DE number 3772748 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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- Comparing Possibly Misspecified Forecasts
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- Dynamic semiparametric models for expected shortfall (and value-at-risk)
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- Estimating the VaR-induced Euler allocation rule
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Fair estimation of capital risk allocation
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- Forecasting compositional risk allocations
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher order elicitability and Osband's principle
- Isometric logratio transformations for compositional data analysis
- Modality for scenario analysis and maximum likelihood allocation
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- On a capital allocation by minimization of some risk indicators
- Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
- Quantitative risk management. Concepts, techniques and tools
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