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2. Time Series Quantile Regression Using Random Forests. (2024). Shibuki, Ryotato ; Shiraishi, Hiroshi ; Nakamura, Tomoshige.
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5. Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano.
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9. Value?at?risk forecasting via dynamic asymmetric exponential power distributions. (2021). Zhao, Zhibiao ; Ou, LU.
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10. An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu.
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11. Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca.
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12. A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy.
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13. Nonparametric Estimation of Truncated Conditional Expectation Functions. (2021). Olma, Tomasz.
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14. Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca.
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16. Nonparametric kernel estimation of CVaR under $$\alpha $$?-mixing sequences. (2020). Luo, Zhongde.
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17. Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method. (2020). Lu, Dong ; Li, Yong ; Ding, Ashley ; Huang, Jinbo.
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18. Uniform Rates for Kernel Estimators of Weakly Dependent Data. (2020). Escanciano, Juan Carlos.
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20. A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery.
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21. Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Fang, Ying ; Cai, Zongwu ; Tian, Dingshi.
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23. A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander.
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24. Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (2017). Beckers, Benjamin ; Seidel, Moritz ; Herwartz, Helmut.
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25. Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework. (2017). Sun, Haoze ; Zhang, YI ; Weng, Chengguo.
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26. Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Chen, Rui ; Ziegel, Johanna F ; Patton, Andrew J.
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27. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa .
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28. Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao.
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29. Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Taspinar, Suleyman ; Tapinar, Suleyman.
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30. High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression. (2015). Torero, Maximo ; Martins-Filho, Carlos ; Yao, Feng.
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31. Decision making with Expected Shortfall and spectral risk measures: The problem of comparative risk aversion. (2015). Brandtner, Mario ; Kursten, Wolfgang.
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32. A smoothing stochastic algorithm for quantile estimation. (2014). THIAM, Baba ; Amiri, Aboubacar.
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33. Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. (2014). Royset, J. O. ; Miranda, S. I. ; Rockafellar, R. T..
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34. Estimación bayesiana del valor en riesgo: una aplicación para el mercado de valores colombiano.. (2014). Londoño, Charle ; Correa, Juan Carlos .
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35. Accounting for severity of risk when pricing insurance products. (2014). Guillen, Montserrat ; Bolance, Catalina ; Alemany, Ramon .
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36. Value at risk estimation by quantile regression and kernel estimator. (2013). Huang, Alex .
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37. A nonparametric approach to calculating value-at-risk. (2013). Guillen, Montserrat ; Bolance, Catalina ; Alemany, Ramon .
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38. Nonparametric estimation of Value-at-Risk. (2012). Guillen, Montserrat ; Bolance, Catalina ; Alemany, Ramon .
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39. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. (2012). Torero, Maximo ; Martins-Filho, Carlos ; Yao, Feng.
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40. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2012). Yeon, SO ; Uryasev, Stan ; Shapiro, Alexander.
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41. Quantile Regression in Risk Calibration. (2012). Wang, Weining ; Härdle, Wolfgang ; Chao, Shih-Kang ; Hardle, Wolfgang Karl.
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42. Asymptotically efficient estimation of the conditional expected shortfall. (2012). Peracchi, Franco ; Leorato, Samantha ; Tanase, Andrei V..
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43. Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory. (2012). Schaumburg, Julia .
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44. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. (2011). Shapiro, Alexander ; Chun, So Yeon ; Uryasev, Stan.
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45. Measuring and testing for the systemically important financial institutions. (2011). Castro Iragorri, Carlos ; Ferrari, Stijn .
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46. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa .
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