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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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q-fin.RM2022★ 1 cited

A semi-parametric dynamic conditional correlation framework for risk forecasting

Giuseppe Storti, Chao Wang

We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametri…