• Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan
      Published 2012-01-01
      Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional ...
      Open Access
      Working Paper
    • Semi-parametric Expected Shortfall Forecasting 

      Gerlach, Richard; Chen, Cathy W.S.
      Published 2014-04-01
      Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation ...
      Open Access
      Working Paper