Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
type: Item
instance of: scholarly article
title: Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
zbMATH Open document ID: 1548.62599
DOI: 10.1080/07350015.2017.1281815
author: James W. Taylor
published in: Journal of Business and Economic Statistics
publication date: 2024-11-08T00:00:00Z
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7940644
MaRDI profile type: MaRDI publication profile
cites work: Coherent measures of risk
cites work: Extreme-quantile tracking for financial time series
cites work: Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
cites work: Higher order elicitability and Osband's principle
cites work: Tests of Conditional Predictive Ability
cites work: Making and Evaluating Point Forecasts
cites work: Strictly Proper Scoring Rules, Prediction, and Estimation
cites work: Goodness of Fit and Related Inference Processes for Quantile Regression
cites work: Q3413299
cites work: Quasi-maximum likelihood estimation for conditional quantiles
cites work: Model Selection via Bayesian Information Criterion for Quantile Regression Models
cites work: VAR for VaR: measuring tail dependence using multivariate regression quantiles
description: scientific article; zbMATH DE number 7940644