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Journal of Business & Economic Statistics Volume 37, 2019 - Issue 1
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Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

James W. TaylorSaïd Business School, University of Oxford, Park End Street OxfordOX1 1HP, UK([email protected])
Pages 121-133 | Received 01 Mar 2016, Accepted 01 Dec 2016, Published online: 19 May 2017

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Chao Wang, Richard Gerlach & Qian Chen. (2023) A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures. Quantitative Finance 23:2, pages 309-334.
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Zhiyuan Pan, Yudong Wang & Li Liu. (2021) Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model. Quantitative Finance 21:11, pages 1791-1805.
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Yannick Hoga. (2020) Where does the tail begin? An approach based on scoring rules. Econometric Reviews 39:6, pages 579-601.
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Tianming Cai. (2018) Financial risk management based on quantile regression model. Journal of Discrete Mathematical Sciences and Cryptography 21:6, pages 1391-1396.
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