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~person:"Borowska, Agnieszka"
~person:"Cai, Zongwu"
~person:"Kondor, Imre"
~person:"Taylor, James W."
~subject:"Estimation theory"
~subject:"Expected shortfall"
~subject:"Nonparametric estimation"
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Search: subject:"Value at Risk"
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Estimation theory
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18
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18
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16
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12
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12
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Expected Shortfall
9
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Borowska, Agnieszka
Cai, Zongwu
Kondor, Imre
Taylor, James W.
Ardia, David
11
Francq, Christian
8
Huschens, Stefan
8
Zakoïan, Jean-Michel
8
Chen, Qian
7
Daouia, Abdelaati
7
Stupfler, Gilles
7
Gerlach, Richard
6
Hoogerheide, Lennart
6
Härdle, Wolfgang
6
Lazar, Emese
6
Degiannakis, Stavros
5
Escanciano, Juan Carlos
5
Girard, Stéphane
5
Gouriéroux, Christian
5
Kratz, Marie
5
Lönnbark, Carl
5
Pei, Pei
5
Bluteau, Keven
4
Hoga, Yannick
4
Hoogerheide, Lennart F.
4
Hou, Yanxi
4
Höse, Steffi
4
Lucas, André
4
Manganelli, Simone
4
Mora-Valencia, Andrés
4
Nadarajah, Saralees
4
Peng, Liang
4
Perote, Javier
4
Uryasev, Stan
4
Wang, Chao
4
Wang, Weining
4
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3
Bormann, Carsten
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5
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2
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1
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1
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1
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1
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1
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ECONIS (ZBW)
18
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1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
3
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
4
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu
;
Liu, Xiyuan
-
2020
Persistent link: https://www.econbiz.de/10012312878
Saved in:
5
Forecasting
value
at
risk
and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
6
Partially Censored Posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012214294
Saved in:
7
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
8
Estimating
Value-at-Risk
and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
9
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
10
Forecast combinations for
value
at
risk
and expected shortfall
Taylor, James W.
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 428-441
Persistent link: https://www.econbiz.de/10012415069
Saved in:
1
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