Dynamic semiparametric models for expected shortfall (and Value-at-Risk)Andrew J. Patton, Johanna F. Ziegel, Rui Chen2019-03-15articleJournal of Econometrics288 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsRisk and Portfolio OptimizationAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 288 citations exist upstream.References1986Generalized autoregressive conditional heteroskedasticity1999Coherent Measures of Risk1994Comparing Predictive Accuracy1995Comparing Predictive Accuracy1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances1998Evaluating Interval Forecasts2004CAViaR1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction DataCited by2021Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis2019An Axiomatic Foundation for the Expected Shortfall2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives2020Regression-Based Expected Shortfall Backtesting2019Forecast combinations for value at risk and expected shortfall2019A joint quantile and expected shortfall regression framework2021Forecasting cryptocurrency volatility2020Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?