Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

DOI10.1080/07350015.2017.1281815MaRDI QIDQ6634847zbMATH OpenFDO

Authors James W. Taylor

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Coherent measures of risk
• Extreme-quantile tracking for financial time series
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Quantile regression.
• Quasi-maximum likelihood estimation for conditional quantiles
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• VAR for VaR: measuring tail dependence using multivariate regression quantiles

Cited in

(7)

• Realized Quantiles^*
• Modeling and Forecasting Macroeconomic Downside Risk
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• Inference for joint quantile and expected shortfall regression
• Better the devil you know: improved forecasts from imperfect models
• Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
• Estimation and backtesting of risk measures with emphasis on distortion risk measures

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