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20162023
most citedNonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles

3 citations · 13 across the 13 of their papers we have counts for

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stat.ML2020

A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting

Zhengkun Li, Minh-Ngoc Tran, Chao Wang +2

Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between t…