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Estimating Value at Risk and Expected Shortfall Using Expectiles

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References

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Cited by

2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk)288 cited
2008Assessing value at risk with CARE, the Conditional Autoregressive Expectile models233 cited
2015Risk management with expectiles223 cited
2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models163 cited
2008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall141 cited
2017Estimation of Tail Risk Based on Extreme Expectiles136 cited
2016Frontiers in VaR forecasting and backtesting

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126 cited

2013Estimation methods for expected shortfall112 cited

2019Forecast combinations for value at risk and expected shortfall91 cited

2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles76 cited

2019A joint quantile and expected shortfall regression framework73 cited

2014A comparison of Expected Shortfall estimation models73 cited

2014A Varying-Coefficient Expectile Model for Estimating Value at Risk66 cited

2011Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation65 cited

2010Extreme Risk Measures for International REIT Markets63 cited

2015Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation60 cited