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(25%) Center for Applied Statistics and Econometrics (CASE) Berlin, Germany
Spandauer Str. 1, 10178 Berlin
RePEc:edi:cahubde (more details at EDIRC)
(25%) Sonderforschungsbereich 649: Ökonomisches Risiko Berlin, Germany
Spandauer Str. 1,10178 Berlin
RePEc:edi:sohubde (more details at EDIRC)
(25%) Institut für Statistik und Ökonometrie (ISÖ) Berlin, Germany
: +49-30-2093 5713
Spandauer Str. 1, 10178 Berlin
RePEc:edi:ishubde (more details at EDIRC)
(25%) Wirtschaftswissenschaftliche Fakultät Berlin, Germany
: +49 30 2093-5673
+49 30 2093-5727
Spandauer Str. 1, D-10178 Berlin
RePEc:edi:wfhubde (more details at EDIRC)
Research outputJump to: Working papers
CitationsMany of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.
- Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015.
"TERES - Tail Event Risk Expectile based Shortfall,"
SFB 649 Discussion Papers
SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
- James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-28, June.
- Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
More informationResearch fields, statistics, top rankings, if available.
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NEP FieldsNEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
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