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A Joint Quantile and Expected Shortfall Regression Framework
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A Joint Quantile and Expected Shortfall Regression Framework

Timo Dimitriadis
Sebastian Bayer
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Papers citing "A Joint Quantile and Expected Shortfall Regression Framework"

4 / 4 papers shown
Title
Asymptotics for the expected shortfall
Asymptotics for the expected shortfall
Tobias Zwingmann
H. Holzmann
24
6
0
22 Nov 2016
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings
W. Ehm
T. Gneiting
Alexander I. Jordan
Fabian Kruger
AI4TS
72
166
0
27 Mar 2015
Higher order elicitability and Osband's principle
Higher order elicitability and Osband's principle
Tobias Fissler
J. Ziegel
59
328
0
27 Mar 2015
Making and Evaluating Point Forecasts
Making and Evaluating Point Forecasts
T. Gneiting
119
1,055
0
04 Dec 2009