Righi, Marcelo Brutti; Yang, Yi; Ceretta, Paulo Sergio - In: Risk management post financial crisis : a period of …, (pp. 83-95). 2014
In this chapter, we estimate the Expected Shortfall (ES) in conditional autoregressive expectile models by using a nonparametric multiple expectile regression via gradient tree boosting. This approach has the advantages generated by the flexibility of not having to rely on data assumptions and...
