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On estimating the conditional expected shortfall

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References

1999Coherent Measures of Risk8,849 cited
1997Modelling Extremal Events4,397 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
1983Ranking Income Distributions1,061 cited
2002Coherent Risk Measures on General Probability Spaces753 cited
2004Pessimistic Portfolio Allocation and Choquet Expected Utility102 cited

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2017Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis38 cited
2015Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity32 cited
2012Weighted Nadaraya-Watson Estimation of Conditional Expected Shortfall26 cited
2011Asymptotically efficient estimation of the conditional expected shortfall23 cited
2021A Prescriptive Machine-Learning Framework to the Price-Setting Newsvendor Problem18 cited
2016Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk18 cited

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