Monitoring Value-at-Risk and Expected Shortfall Forecasts

B-Tier

Journal: Management Science

Year: 2023

Volume: 69

Issue: 5

Pages: 2954-2971

Authors (2)

Yannick Hoga (not in RePEc) Matei Demetrescu (TU Dortmund, Fakultät Statisti...)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count