most citedQuantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

2 citations · 2 across the 2 of their papers we have counts for

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econ.EM2026★ 2 cited

Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

Xiaochun Liu, Richard Luger

We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the differ…

econ.EM2020

Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary

Timo Dimitriadis, Xiaochun Liu, Julie Schnaitmann

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows test…