Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall-Reference-Cited by-同舟云学术

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Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Published:2021-08 Issue: Volume: Page:
ISSN:2452-3062
Container-title:Econometrics and Statistics
language:en
Short-container-title:Econometrics and Statistics

Author:

Catania Leopoldo,Luati Alessandra^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference57 articles.

1. The prediction distribution of a garch (1, 1) process;Abadir;arXiv preprint arXiv:1812.08409,2018

2. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

3. Coherent measures of risk;Artzner;Mathematical finance,1999

4. A note on quantiles in large samples;Bahadur;The Annals of Mathematical Statistics,1966

5. Minimum capital requirements for market risk;Basel Committee on Banking Supervision,2019

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures;International Review of Financial Analysis;2023-05

2. Forecasting VaR based on joint quantile and ES regression models;2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022);2022-05-17

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