Gerlach, Richard H.; Chen, Cathy W.S.; Lin, Liou-Yan - Business School, University of Sydney - 2012
financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation …-parametric estimation and forecasts of expectiles and expected shortfall. Further, the conditional autoregressive expectile class of model … series: clear evidence of more accurate expected shortfall forecasting, compared to a range of competing methods is found …