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Timo Dimitriadis (University Frankfurt) "A Non-Crossing Quantile and Expected Shortfall Regression" Abstract: Recently proposed joint and two-step estimators for Expected Shortfall (ES) and Value-at-Risk (VaR) regressions often exhibit crossings of the estimated regression functions in finite samples, analogous to the classical quantile crossing problem. We propose an M-estimator for joint VaR and ES regression at […] |
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Yannick Hoga (Universität Duisburg-Essen) "Tail Index Regression for Extremal Dependence” (joint work with Paulo M. M. Rodrigues from Banco de Portugal and NOVA School of Business and Economics)" Face to Face 15.2.71 - Room 15.1.39 |
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