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20222025
most citedGAM(L)A: An econometric model for interpretable Machine Learning

3 citations · 3 across the 2 of their papers we have counts for

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q-fin.RM2024

Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials

Sullivan Hué, Christophe Hurlin, Yang Lu

We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popul…