TERES - Tail Event Risk Expectile based Shortfall
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- 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 about this item
KeywordsExpected Shortfall; expectiles; tail risk; risk management; tail events; tail moments;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-09-26 (All new papers)
- NEP-ECM-2015-09-26 (Econometrics)
- NEP-RMG-2015-09-26 (Risk Management)
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