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Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model. (2022). Liu, Yezheng ; Xu, Qifa ; Chen, LU ; Jiang, Cuixia.
In: Journal of Forecasting.
RePEc:wly:jforec:v:41:y:2022:i:3:p:407-421.

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  1. Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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  2. Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model. (2025). Yao, Yinhong ; Chen, Xiuwen.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000257.

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  50. Expected Shortfall: a natural coherent alternative to Value at Risk. (2001). Acerbi, Carlo ; Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:cond-mat/0105191.

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