Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons

DOI10.1016/J.JEDC.2019.103753zbMATH Open1425.91431OpenAlexW2974811896WikidataQ127232836 ScholiaQ127232836MaRDI QIDQ2338545FDOQ2338545

Authors: Di Bu, Yin Liao, Jing Shi, Hongfeng Peng 

Publication date: 21 November 2019

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103753

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zbMATH Keywords

expected shortfallwavelet analysistail risktime horizonfinancial institution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical methods for wavelets (65T60)

Cites Work

• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Higher order elicitability and Osband's principle
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment

Cited In (4)

• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Dual representation of expectile-based expected shortfall and its properties
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Large-scale minimum variance portfolio allocation using double regularization

Uses Software

• CAViaR
• wmtsa

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