Browsing School of Pure and Applied Sciences by Subject "Expected Shortfall"
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Estimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
(Scientific Research Publishing Inc., 2021-07-14)In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used ...