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A comparison of expected shortfall estimation models

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Optimal hedging with variational preferences under convex risk measures

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Numerical comparison of multivariate models to forecasting risk measures

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A comparison of Expected Shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of Economics and Business 78 (2015) C, pp. 14-47

We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models....

Persistent link: https://www.econbiz.de/10011209909