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

DOI10.1016/J.JEDC.2019.103753MaRDI QIDQ2338545zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

expected shortfallfinancial institutiontail risktime horizonwavelet analysis

Mathematics Subject Classification ID

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

Recommendations

• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• TERES: tail event risk expectile shortfall
• Backtesting extreme value theory models of expected shortfall
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• A regression analysis of expected shortfall

Cites work

• 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)
• Higher order elicitability and Osband's principle
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

Cited in

(4)

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

Describes a project that uses

Uses Software

• CAViaR
• wmtsa

This page was built for publication: Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2338545)