Inference for joint quantile and expected shortfall regression
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Publication:6548879
Cites work
- scientific article; zbMATH DE number 3145638 (Why is no real title available?)
- scientific article; zbMATH DE number 3738700 (Why is no real title available?)
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
- scientific article; zbMATH DE number 472973 (Why is no real title available?)
- A joint quantile and expected shortfall regression framework
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- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Higher order elicitability and Osband's principle
- Making and evaluating point forecasts
- Nonparametric estimation of conditional VaR and expected shortfall
- On estimating the conditional expected shortfall
- Pseudo Maximum Likelihood Methods: Theory
- Quantile regression.
- Quantitative risk management. Concepts, techniques and tools
- Right-tail information in financial markets
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