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Multivariate extensions of expectiles risk measures
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Multivariate extensions of expectiles risk measures (2017)Multivariate extensions of expectiles ris…Providing Incentives for Better Cost Forecasting (2020)Providing Incentives for Bett…Estimation of Tail Risk Based on Extreme Expectiles (2017)Estimation of Tail Risk Based…Higher order elicitability and Osband’s principle (2016)Higher order elicitability an…What is the best risk measure in practice? A comparison of standard measures (2015)What is the best risk measure…Risk management with expectiles (2015)Risk management with expectil…On elicitable risk measures (2015)On elicitable risk measuresCOHERENCE AND ELICITABILITY (2014)COHERENCE AND ELICITABILITYGeneralized quantiles as risk measures (2013)Generalized quantiles as risk…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Eliciting properties of probability distributions (2008)Eliciting properties of proba…Multivariate risks and depth-trimmed regions (2007)Multivariate risks and depth-…Consistent risk measures for portfolio vectors (2005)Consistent risk measures for …Vector-valued coherent risk measures (2004)Vector-valued coherent risk m…Coherent Measures of Risk (1999)Coherent Measures of RiskMultidimensional Stochastic Approximation Methods (1954)Multidimensional Stochastic A…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger (2016)Elicitability and backtesting: Perspectives for banking regulation (2017)On the Stochastic Approximation Method of Robbins and Monro (1952)Stochastic Estimation of the Maximum of a Regression Function (1952)Multivariate stochastic approximation using a simultaneous perturbation gradient approximation (1992)A Tutorial on Bayesian Optimization (2018)Bayesian Optimization (2018)An Overview of Value at Risk (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Probabilistic Forecasting (2014)Retail forecasting: Research and practice (2019)Forecasting: theory and practice (2022)Convex measures of risk and trading constraints (2002)On the coherence of expected shortfall (2002)Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Comparing Predictive Accuracy (1994)An Academic Response to Basel 3.5 (2014)Elicitation of Personal Probabilities and Expectations (1971)Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (2017)Dynamic semiparametric models for expected shortfall (and Value-at-Risk) (2019)Conditional value-at-risk for general loss distributions (2002)Some aspects of the sequential design of experiments (1952)Lectures on Stochastic Programming (2009)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)
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References

  • 1951A Stochastic Approximation Method9,630 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 1954Multidimensional Stochastic Approximation Methods523 cited
  • 2016Higher order elicitability and Osband’s principle465 cited
  • 2014COHERENCE AND ELICITABILITY361 cited
  • 2013Generalized quantiles as risk measures254 cited
  • 2015What is the best risk measure in practice? A comparison of standard measures252 cited
  • 2015Risk management with expectiles223 cited
  • 2015On elicitable risk measures193 cited
  • 2004Vector-valued coherent risk measures181 cited
  • 2008Eliciting properties of probability distributions146 cited
  • 2017Estimation of Tail Risk Based on Extreme Expectiles136 cited
  • 2005Consistent risk measures for portfolio vectors107 cited
  • 2020Providing Incentives for Better Cost Forecasting84 cited
  • 2007Multivariate risks and depth-trimmed regions74 cited

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