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Sebastian Bayer
Sebastian Bayer
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Title
Cited by
Cited by
Year
Regression based expected shortfall backtesting
S Bayer, T Dimitriadis
arXiv preprint arXiv:1801.04112, 2018
902018
A joint quantile and Expected Shortfall regression framework
T Dimitriadis, S Bayer
Electronic Journal of Statistics 13 (1), 1823-1871, 2019
782019
Combining Value-at-Risk forecasts using penalized quantile regressions
S Bayer
Econometrics and statistics 8, 56-77, 2018
572018
esback: Expected Shortfall Backtesting
S Bayer, T Dimitriadis
R package version 0.1 1, 99, 2017
92017
Three Essays on Improving Financial Risk Estimation, Forecasting and Backtesting
S Bayer
2018
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Articles 1–5