The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data
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Cites work
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Cited in
(3)- Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
- Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
- Expectile regression averaging method for probabilistic forecasting of electricity prices
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