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A Joint Quantile and Expected Shortfall Regression Framework

7 April 2017

Papers citing "A Joint Quantile and Expected Shortfall Regression Framework"

4 / 4 papers shown

Title
Asymptotics for the expected shortfall Tobias Zwingmann H. Holzmann 26 6 0 22 Nov 2016
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 Tobias Fissler J. Ziegel 59 328 0 27 Mar 2015
Making and Evaluating Point Forecasts T. Gneiting 119 1,055 0 04 Dec 2009