英文标题：
《Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile
and Expected Shortfall》
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作者：
Chao Wang, Richard Gerlach
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最新提交年份：
2019
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英文摘要：
A joint conditional autoregressive expectile and Expected Shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous dependence between the realized measures and the latent conditional expectile. Nonlinear threshold specification is further incorporated into the proposed framework. A Bayesian Markov Chain Monte Carlo method is adapted for estimation, whose properties are assessed and compared with maximum likelihood via a simulation study. One-day-ahead VaR and ES forecasting studies, with seven market indices, provide empirical support to the proposed models.
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中文摘要：
提出了一个联合条件自回归期望值和期望短缺框架。该框架通过加入一个度量方程进行扩展，该方程建模了已实现度量和潜在条件期望之间的同时依赖关系。非线性阈值规范被进一步纳入所提出的框架中。采用贝叶斯马尔可夫链蒙特卡罗方法进行估计，并通过仿真研究对其性能进行了评估，并与最大似然法进行了比较。为期一天的VaR和ES预测研究，以及七个市场指数，为提出的模型提供了实证支持。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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