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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Powerful backtests for historical simulation expected shortfall models
Du, Zaichao; Pei, Pei; Wang, Xuhui; Yang, Tao - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
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Semiparametric estimation of dynamic conditional expected shortfall models
Escanciano, Juan Carlos; Mayoral, Silvia - In: International journal of monetary economics and finance 1 (2008) 2, pp. 106-120
Persistent link: https://www.econbiz.de/10003822450
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - 2017
Persistent link: https://www.econbiz.de/10011763135
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 453-465
Persistent link: https://www.econbiz.de/10012499091