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Nonparametric Estimation of Conditional Expected Shortfall
13 references·0 citing·36 second hop
Nonparametric Estimation of Conditional Expected Shortfall (2023)Nonparametric Estimation of Conditional E…Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2003)Nonparametric Estimation and …On the coherence of expected shortfall (2002)On the coherence of expected …MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskCAViaR: Conditional Value at Risk by Quantile Regression (1999)CAViaR: Conditional Value at …Beyond Value at Risk: The New Science of Risk Management (1998)Beyond Value at Risk: The New…On the Covariance Matrices Used in Value at Risk Models (1997)On the Covariance Matrices Us…Investigation of a Class of Volatility Estimators (1997)Investigation of a Class of V…An Overview of Value at Risk (1997)An Overview of Value at RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Modelling Nonlinear Economic Time Series (2010)PORTFOLIO SELECTION* (1952)Modelling Extremal Events (1997)Nonparametric estimation of copulas for time series (2003)Shortfall as a risk measure: properties, optimization and applications (2003)A comprehensive review of Value at Risk methodologies (2013)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Coherent allocation of risk capital (2001)Expected shortfall and beyond (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Measuring Market Risk (2005)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 1998Beyond Value at Risk: The New Science of Risk Management489 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
  • 1997On the Covariance Matrices Used in Value at Risk Models123 cited
  • 1999CAViaR: Conditional Value at Risk by Quantile Regression109 cited
  • 1997Investigation of a Class of Volatility Estimators80 cited

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