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 […]
4 events found.
Econometrics Seminar
Events
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 […]
Sofía Velasco (Banco de España) "TBA" Face to face 15.2.71 - Room 15.1.39
Daniel Gutknecht (Goethe-Universität Frankfurt) "Estimation and Inference for Systemic Risk Measures in High-Dimension" Face to Face 15.2.71 - Room 15.1.39