SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Weighted Nadaraya-Watson Estimation of Conditional Expected Shortfall
11 references·1 citing·36 second hop
Weighted Nadaraya-Watson Estimation of Conditional Expected Shortfall (2012)Weighted Nadaraya-Watson Estimation of Co…Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk (2013)Superquantile regression with…On estimating the conditional expected shortfall (2008)On estimating the conditional…Nonparametric estimation of conditional VaR and expected shortfall (2008)Nonparametric estimation of c…Nonparametric Estimation of Expected Shortfall (2007)Nonparametric Estimation of E…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005)Nonparametric Inference of Va…Nonparametric Estimation of Conditional Expected Shortfall (2004)Nonparametric Estimation of C…Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2003)Nonparametric Estimation and …On the coherence of expected shortfall (2002)On the coherence of expected …Coherent Measures of Risk (1999)Coherent Measures of RiskMeasures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity (2015)Measures of Residual Risk wit…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Optimization of conditional value-at-risk (2000)Making and Evaluating Point Forecasts (2011)A large CVaR-based portfolio selection model with weight constraints (2016)Time-varying quantile association regression model with applications to financial contagion and VaR (2016)CAViaR (2004)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)An Axiomatic Foundation for the Expected Shortfall (2019)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)An Overview of Value at Risk (1997)Convex measures of risk and trading constraints (2002)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Frontiers in VaR forecasting and backtesting (2016)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)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)Generalized autoregressive conditional heteroskedasticity (1986)Developing a stress testing framework based on market risk models (2008)Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall (2008)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
  • 2007Nonparametric Estimation of Expected Shortfall153 cited
  • 2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns148 cited
  • 2008Nonparametric estimation of conditional VaR and expected shortfall123 cited
  • 2004Nonparametric Estimation of Conditional Expected Shortfall75 cited
  • 2013Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk71 cited
  • 2008On estimating the conditional expected shortfall34 cited

Cited by

  • 2015Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity32 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work