A Joint Quantile and Expected Shortfall Regression Framework

v1v2v3 (latest)

A Joint Quantile and Expected Shortfall Regression Framework

7 April 2017

Timo Dimitriadis

Sebastian Bayer

ArXiv (abs)PDF HTML

Papers citing "A Joint Quantile and Expected Shortfall Regression Framework"

8 / 8 papers shown

Title
Robust Estimation and Inference for Expected Shortfall Regression with Many Regressors Xuming He Kean Ming Tan Wen-Xin Zhou 46 8 0 11 Dec 2022
Characterizing M-estimators Timo Dimitriadis Tobias Fissler J. Ziegel 64 9 0 17 Aug 2022
Osband's Principle for Identification Functions Timo Dimitriadis Tobias Fissler J. Ziegel 66 7 0 16 Aug 2022
Measurability of functionals and of ideal point forecasts Tobias Fissler H. Holzmann 34 4 0 16 Mar 2022
The Efficiency Gap Timo Dimitriadis Tobias Fissler J. Ziegel 87 22 0 27 Oct 2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary Timo Dimitriadis Xiaochun Liu Julie Schnaitmann 38 2 0 15 Sep 2020
Forecast Encompassing Tests for the Expected Shortfall Timo Dimitriadis Julie Schnaitmann 56 9 0 13 Aug 2019
Elicitability and Identifiability of Systemic Risk Measures Tobias Fissler Jana Hlavinová Birgit Rudloff 100 6 0 02 Jul 2019