Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Gurrola, Pedro
and
Murphy, David
2015.
Filtered Historical Simulation Value-at-Risk Models and Their Competitors.
SSRN Electronic Journal,
Martin, R. Douglas
and
Zhang, Shengyu
2016.
Nonparametric versus Parametric Expected Shortfall.
SSRN Electronic Journal ,
Astfalck, L.C.
Cripps, E.J.
Hodkiewicz, M.R.
and
Milne, I.A.
2019.
A Bayesian approach to the quantification of extremal responses in simulated dynamic structures.
Ocean Engineering,
Vol. 182,
Issue. ,
p.
594.
Lucas, Edimilson Costa
Mendes-Da-Silva, Wesley
and
Araujo, Gustavo Silva
2019.
Does extreme rainfall lead to heavy losses in the food industry?.
Academia Revista Latinoamericana de Administración,
Vol. 32,
Issue. 2,
p.
244.
Tian, Ding-shi
Cai, Zong-wu
and
Fang, Ying
2019.
Econometric modeling of risk measures: A selective review of the recent literature.
Applied Mathematics-A Journal of Chinese Universities,
Vol. 34,
Issue. 2,
p.
205.
Pele, Daniel Traian
Lazar, Emese
and
Mazurencu-Marinescu-Pele, Miruna
2019.
Modeling Expected Shortfall Using Tail Entropy.
Entropy,
Vol. 21,
Issue. 12,
p.
1204.
Cui, Zhenyu
Kirkby, Justin
and
Nguyen, Duy
2019.
Nonparametric Density Estimation by B-spline Duality.
SSRN Electronic Journal ,
Velthoen, Jasper
Cai, Juan-Juan
Jongbloed, Geurt
and
Schmeits, Maurice
2019.
Improving precipitation forecasts using extreme quantile regression.
Extremes,
Vol. 22,
Issue. 4,
p.
599.
Lu, Zhaoyang
2020.
Some Approximate Results of Value-at-Risk for Dependent Compound Stochastic Sums of Heavy-Tailed Risks.
IEEE Access,
Vol. 8,
Issue. ,
p.
159307.
Mehlitz, Julia S.
and
Auer, Benjamin R.
2020.
A Monte Carlo evaluation of non-parametric estimators of expected shortfall.
The Journal of Risk Finance,
Vol. 21,
Issue. 4,
p.
355.
Triantafyllou, Athanasios
Dotsis, George
and
Sarris, Alexandros
2020.
Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets.
Journal of Agricultural Economics,
Vol. 71,
Issue. 3,
p.
631.
Calmon, Wilson
Ferioli, Eduardo
Lettieri, Davi
Soares, Johann
and
Pizzinga, Adrian
2021.
An Extensive Comparison of Some Well‐Established Value at Risk Methods.
International Statistical Review,
Vol. 89,
Issue. 1,
p.
148.
Sulistianingsih, E
Rosadi, D
and
Abdurakhman
2021.
Risk analysis of five stocks indexed by LQ45 using credible value at risk and credible expected tail loss.
Journal of Physics: Conference Series,
Vol. 1918,
Issue. 4,
p.
042023.
Mehlitz, Julia S.
and
Auer, Benjamin R.
2021.
Time‐varying dynamics of expected shortfall in commodity futures markets.
Journal of Futures Markets,
Vol. 41,
Issue. 6,
p.
895.
Cui, Zhenyu
Kirkby, J. Lars
and
Nguyen, Duy
2021.
A data-driven framework for consistent financial valuation and risk measurement.
European Journal of Operational Research,
Vol. 289,
Issue. 1,
p.
381.
Almanjahie, Ibrahim M.
Bouzebda, Salim
Chikr Elmezouar, Zouaoui
and
Laksaci, Ali
2021.
The functional kNN estimator of the conditional expectile: Uniform consistency in number of neighbors.
Statistics & Risk Modeling,
Vol. 38,
Issue. 3-4,
p.
47.
Girard, Stéphane
Stupfler, Gilles
and
Usseglio-Carleve, Antoine
2021.
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models.
The Annals of Statistics,
Vol. 49,
Issue. 6,
Sasaki, Yuya
and
Wang, Yulong
2022.
Fixed-k Inference for Conditional Extremal Quantiles.
Journal of Business & Economic Statistics,
Vol. 40,
Issue. 2,
p.
829.
Santos, Douglas G.
Candido, Osvaldo
and
Tófoli, Paula V.
2022.
Forecasting risk measures using intraday and overnight information.
The North American Journal of Economics and Finance,
Vol. 60,
Issue. ,
p.
101669.
He, Yi
Peng, Liang
Zhang, Dabao
and
Zhao, Zifeng
2022.
Risk Analysis via Generalized Pareto Distributions.
Journal of Business & Economic Statistics,
Vol. 40,
Issue. 2,
p.
852.