Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
DOI10.2202/1558-3708.1304zbMATH Open1225.62141OpenAlexW2100372182MaRDI QIDQ5452737FDOQ5452737
Authors: Carlos Martins-Filho, Feng Yao 
Publication date: 4 April 2008
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1304
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- Conditional VAR and expected shortfall: a new functional approach
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- Uncertainty Comparison Between Value-at-Risk and Expected Shortfall
- Nonparametric regression estimation with general parametric error covariance
- Backtesting extreme value theory models of expected shortfall
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