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CAESar: Conditional Autoregressive Expected Shortfall

https://doi.org/10.2139/ssrn.4886158
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The use of encompassing tests for forecast combinations
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GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
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Volatility measures and Value-at-Risk
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Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?
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Forecasting extreme financial risk: A score-driven approach
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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
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Quantiles, expectiles and splines
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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
inferredcites →https://doi.org/10.1016/j.jeconom.2020.02.003openalex-snapshot
ExpectHill estimation, extreme risk and heavy tails
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Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
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Testing the equality of prediction mean squared errors
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On the coherence of expected shortfall
inferredcites →https://doi.org/10.1016/s0927-5398(00)00012-8openalex-snapshot
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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Inference for the Generalization Error
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Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
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Realized Quantiles *
inferredcites →https://doi.org/10.1080/07350015.2023.2252881openalex-snapshot
Powerful Backtests for Historical Simulation Expected Shortfall Models
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Risk management with expectiles
inferredcites →https://doi.org/10.1080/14697688.2020.1834120openalex-snapshot
Backtesting expected shortfall and beyond
inferredcites →https://doi.org/10.1080/713665670openalex-snapshot
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1093/jjfinec/nbn001openalex-snapshot
Estimating Value at Risk and Expected Shortfall Using Expectiles
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Basel IV implementation: a review of the case of the European Union
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Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00277.xopenalex-snapshot
Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
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DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns
inferredcites →https://doi.org/10.1198/073500102753410444openalex-snapshot
Comparing Predictive Accuracy
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CAViaR
inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-snapshot
Making and Evaluating Point Forecasts
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Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
inferredcites →https://doi.org/10.1214/16-aos1439openalex-snapshot
Higher order elicitability and Osband’s principle
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Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.21314/jor.2015.318openalex-snapshot
What is the best risk measure in practice? A comparison of standard measures
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What is the Best Risk Measure in Practice? A Comparison of Standard Measures
inferredcites →https://doi.org/10.2139/ssrn.2898688openalex-snapshot
Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall
inferredcites →https://doi.org/10.2139/ssrn.4452742openalex-snapshot
Risk Budgeting Allocation for Dynamic Risk Measures
inferredcites →https://doi.org/10.2307/1913643openalex-snapshot
Regression Quantiles
inferredcites →https://doi.org/10.2307/2291020openalex-snapshot
An Introduction to the Bootstrap.
inferredcites →https://doi.org/10.4236/ica.2017.82010openalex-snapshot
Method of Dynamic VaR and CVaR Risk Measures Forecasting for Long Range Dependent Time Series on the Base of the Heteroscedastic Model
inferredcites →https://doi.org/10.48550/arxiv.1707.05108openalex-snapshot
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
inferredcites →https://doi.org/10.48550/arxiv.2209.06476openalex-snapshot
Statistical Learning of Value-at-Risk and Expected Shortfall
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