Advanced search
Publication Cover
Quantitative Finance Volume 19, 2019 - Issue 5
Submit an article Journal homepage
842
Views
13
CrossRef citations to date
0
Altmetric
Research Papers

Backtesting extreme value theory models of expected shortfall

Alfonso NovalesInstituto Complutense de Análisis Económico (ICAE), and Department of Quantitative Economics, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense, Campus de Somosaguas, 28223Madrid, SpainCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-2137-1789View further author information
ORCID Icon &
Laura Garcia-JorcanoDepartment of Economic Analysis and Finance (Area of Financial Economics), Facultad de Ciencias Jurídicas y Sociales, Universidad de Castilla-La Mancha, 45071Toledo, SpainORCID Iconhttp://orcid.org/0000-0002-3656-8787View further author information
ORCID Icon
Pages 799-825 | Received 09 Aug 2017, Accepted 05 Oct 2018, Published online: 13 Nov 2018

Citations (13)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Zaichao Du, Pei Pei, Xuhui Wang & Tao Yang. (2023) Powerful Backtests for Historical Simulation Expected Shortfall Models. Journal of Business & Economic Statistics 0:0, pages 1-28.
Read now

Articles from other publishers (12)

Ze Shen, Minglu Wang & Qing Wan. (2022) Tail risk of coal futures in China's market. Accounting & Finance 63:S2, pages 2827-2845.
Crossref
Laura Garcia-Jorcano & Lidia Sanchis-Marco. (2023) Measuring Systemic Risk Using Multivariate Quantile-Located ES Models. Journal of Financial Econometrics 21:1, pages 1-72.
Crossref
Larbi Ait-Hennani, Zoulikha Kaid, Ali Laksaci & Mustapha Rachdi. (2022) Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data. Mathematics 10:23, pages 4508.
Crossref
Itsaso Lopetegui & Ikerne del Valle. (2021) Measuring left-tail risk of fish species. Ocean & Coastal Management 213, pages 105872.
Crossref
Julia S. Mehlitz & Benjamin R. Auer. (2021) Time‐varying dynamics of expected shortfall in commodity futures markets. Journal of Futures Markets 41:6, pages 895-925.
Crossref
Wei Liu, Artur Semeyutin, Chi Keung Marco Lau & Giray Gozgor. (2020) Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. Research in International Business and Finance 54, pages 101259.
Crossref
Inés Jiménez, Andrés Mora-Valencia, Trino-Manuel Ñíguez & Javier Perote. (2020) Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies. Mathematics 8:12, pages 2110.
Crossref
Julia S. Mehlitz & Benjamin R. Auer. (2020) A Monte Carlo evaluation of non-parametric estimators of expected shortfall. The Journal of Risk Finance 21:4, pages 355-397.
Crossref
Qifa Xu, Lu Chen, Cuixia Jiang & Keming Yu. (2020) Mixed data sampling expectile regression with applications to measuring financial risk. Economic Modelling 91, pages 469-486.
Crossref
Laura Garcia-Jorcano & Alfonso Novales. (2020) A dominance approach for comparing the performance of VaR forecasting models. Computational Statistics 35:3, pages 1411-1448.
Crossref
Nuno Sobreira & Rui Louro. (2020) Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. Finance Research Letters 32, pages 101098.
Crossref
Alvaro Chamizo & Alfonso Novales Cinca. (2015) Forward-Looking Asset Correlations in the Estimation of Economic Capital. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.