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20192024
most citedA Comparison of Single and Multiple Changepoint Techniques for Time Series Data

3 citations · 5 across the 4 of their papers we have counts for

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stat.CO2024★ 2 cited

Estimating Value at Risk and Expected Shortfall: A Brief Review and Some New Developments

Kanon Kamronnaher, Andrew Bellucco, Whitney K. Huang +1

Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregre…