A Bayesian approach for more reliable tail risk forecasts-Reference-Cited by-同舟云学术

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A Bayesian approach for more reliable tail risk forecasts

Published:2023-02 Issue: Volume:64 Page:101098
ISSN:1572-3089
Container-title:Journal of Financial Stability
language:en
Short-container-title:Journal of Financial Stability

Author:

Li Dan^ORCID,Clements Adam^ORCID,Drovandi Christopher

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference41 articles.

1. Back-testing expected shortfall;Acerbi;Risk,2014

2. On the coherence of expected shortfall;Acerbi;J. Bank. Financ.,2002

3. Measuring systemic risk;Acharya;Rev. Financ. Stud.,2017

4. CoVaR;Adrian,2011

5. Quantile uncertainty and Value-at-Risk model risk;Alexander;Risk Anal.: Int. J.,2012

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