Cover Image

Time-lagged marginal expected shortfall

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Liu, Jiajun, Liu, Xuannan, Zhao, Yuwei
Format:	Preprint
Published:	2025
Subjects:	Methodology Probability 60G70, 62M10, 91G70
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)

Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes
by: Wu, Yinhao, et al.
Published: (2025)

Causal tail coefficient for compound extremes in multivariate time series
by: Yin, Cathy, et al.
Published: (2025)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Convex combinations of random variables stochastically dominate the parent for a new class of heavy-tailed distributions
by: Arab, Idir, et al.
Published: (2024)

Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)

Geometric Observables for Financial Regime Detection
by: Hammond, Will
Published: (2026)

On the Impact of Approximation Errors on Extreme Quantile Estimation with Applications to Functional Data Analysis
by: Pere, Jaakko, et al.
Published: (2023)

The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024)

Club Exco: clustering brain extreme communities from multi-channel EEG data
by: Guerrero, Matheus B., et al.
Published: (2022)

Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)

Extremal correlation coefficient for functional data
by: Kim, Mihyun, et al.
Published: (2024)

Cluster size distributions of discrete random fields
by: Cheng, Dan, et al.
Published: (2026)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)

Estimating probabilities of multivariate failure sets based on pairwise tail dependence coefficients
by: Kiriliouk, Anna, et al.
Published: (2022)

Jump detection in high-frequency order prices
by: Bibinger, Markus, et al.
Published: (2024)

Shift-generated $α$-homogeneous classes of jointly measurable random fields
by: Hashorva, Enkelejd
Published: (2025)

Comparative Analysis of Spatiotemporal Volatility Models: An Empirical Study on Financial Network Series
by: Chrisko, Ariane N. Meli, et al.
Published: (2026)

Graphical models for infinite measures with applications to extremes
by: Engelke, Sebastian, et al.
Published: (2022)

Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
by: Qian, Zhongmin, et al.
Published: (2018)

Set-valued conditional functionals of random sets
by: Fissler, Tobias, et al.
Published: (2025)

Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
by: Hammouda, Chiheb Ben, et al.
Published: (2026)

Estimation of the number of principal components in high-dimensional multivariate extremes
by: Butsch, Lucas, et al.
Published: (2025)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)

Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)

Extrapolation of max-stable random fields with Fréchet marginals
by: Makogin, Vitalii, et al.
Published: (2026)

Statistical Prediction of Peaks Over a Threshold
by: Padoan, Simone A., et al.
Published: (2025)

Moment conditions for random coefficient AR($\infty$) under non-negativity assumptions
by: Maillard, Pascal, et al.
Published: (2022)

Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
by: Han, Xiyue, et al.
Published: (2023)

Diversification and Stochastic Dominance: When All Eggs Are Better Put in One Basket
by: Vincent, Léonard
Published: (2025)

Linking Path-Dependent and Stochastic Volatility Models
by: Cohen, Samuel N., et al.
Published: (2025)

Causal discovery in heavy-tailed linear structural equation models via scalings
by: Krali, Mario
Published: (2025)

Asymptotic theory for the likelihood-based block maxima method in time series
by: Carl, David L., et al.
Published: (2025)

On the dependence between a Wiener process and its running maxima and running minima processes
by: Dąbrowski, Karol, et al.
Published: (2021)

Characterisation of distributions via record-like observations
by: Gouet, Raúl, et al.
Published: (2025)