Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - 2017
from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and … propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and … confirm via simulation studies that the methods have good finite-sample properties. We apply these models to daily returns on …