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Conditional value-at-risk: Aspects of modeling and estimation
6 references·16 citing·46 second hop
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References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion272 cited
  • 1996Conditional Quantile Estimation and Inference for Arch Models264 cited

Cited by

  • 2008CoVaR129 cited
  • 2008Nonparametric estimation of conditional VaR and expected shortfall123 cited
  • 2013Measuring and testing for the systemically important financial institutions109 cited
  • 2010A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach102 cited
  • 2015Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models81 cited
  • 2021Re-examining Bitcoin Volatility: A CAViaR-based Approach78 cited
  • 2008Quantile regression analysis of hedge fund strategies77 cited
  • 2005Bagging binary and quantile predictors for time series77 cited
  • 2017Judicial efficiency and capital structure: An international study

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71 cited
  • 2013Market capitalization and Value-at-Risk71 cited
  • 2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY68 cited
  • 2013The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis67 cited
  • 2013Good for one, bad for all: Determinants of individual versus systemic risk64 cited
  • 2002Evaluation and Combination of Conditional Quantile Forecasts62 cited
  • 2021Modelling systemic risk using neural network quantile regression59 cited
  • 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics59 cited