Forecasting expected shortfall: Should we use a multivariate model for stock market factors?-Reference-Cited by-同舟云学术

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Forecasting expected shortfall: Should we use a multivariate model for stock market factors?

Published:2023-01 Issue:1 Volume:39 Page:314-331
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Fortin Alain-Philippe,Simonato Jean-Guy^ORCID,Dionne Georges

Funder

Social Sciences and Humanities Research Council of Canada

Publisher

Elsevier BV

Subject

Business and International Management

Reference39 articles.

1. Back-testing expected shortfall;Acerbi,2014

2. Acerbi, C., & Szekely, B. (2017). General properties of backtestable statistics. In Working paper, MSCI.

3. Dynamic conditional correlation: On properties and estimation;Aielli;Journal of Business & Economic Statistics,2013

4. Minimum capital requirements for market risk;Basel Committee on Banking Supervision (BCBS),2016

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

Cited by 4 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. CAESar: Conditional Autoregressive Expected Shortfall;2024

2. A comparison of Range Value at Risk (RVaR) forecasting models;Journal of Forecasting;2023-11-20

3. Size distortions in robust estimators: implications for asset pricing;SSRN Electronic Journal;2023

4. Portfolios of value and momentum: disappointment aversion and non-normalities;Quantitative Finance;2022-03-11

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