ČÞek, P., Härdle, W. K. and Spokoiny, V. (2009). Adaptive pointwise estimation in timeinhomogeneous conditional heteroscedasticity models, Econometrics Journal 12: 248– 271.
Acerbi, C. and Tasche, D. (2002). Expected Shortfall: a natural coherent alternative to Value at Risk, Economic notes 31(2): 379–388.
Ameur, H. and Prigent, J.-L. (2014). Portfolio insurance: Gap risk under conditional multiples, European Journal of Operational Research 236(1): 238–253.
- Black, F. and Jones, R. W. (1987). Simplifying portfolio insurance, The Journal of Portfolio Management 14(1): 48–51.
Paper not yet in RePEc: Add citation now
Black, F. and Perold, A. F. (1992). Theory of constant proportion portfolio insurance, Journal of Economic Dynamics and Control 16(3): 403–426.
Cai, Z. and Xu, X. (2008). Nonparametric Quantile Estimation for Dynamic Smooth Coefficient Models, Journal of the American Statistical Association 103(492): 1595– 1608.
Chen, Y. and Niu, L. (2014). Adaptive dynamic Nelson–Siegel term structure model with applications, Journal of Econometrics 180(1): 98–115.
Chen, Y., Härdle, W. K. and Pigorsch, U. (2010). Localized Realized Volatility, Journal of the American Statistical Association 105(492): 1376–1393.
De Rossi, G. and Harvey, A. (2009). Quantiles, expectiles and splines, Journal of Econometrics 152(2): 179–185.
- Efron, B. (1991). Regression percentiles using asymmetric squared error loss, Statistica Sinica 1(1): 93–125.
Paper not yet in RePEc: Add citation now
Engle, R. F. and Manganelli, S. (2004). CAViaR: Conditional autoregressive value at risk by regression quantiles, Journal of Business & Economic Statistics 22(4): 367–381.
- Estep, T. and Kritzman, M. (1988). TIPP: Insurance without complexity, The Journal of Portfolio Management 14(4): 38–42.
Paper not yet in RePEc: Add citation now
- Föllmer, H. and Leukert, P. (1999). Quantile hedging, Finance and Stochastics 3(3): 251– 273.
Paper not yet in RePEc: Add citation now
Gerlach, R. and Chen, C. W. (2015). Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range, Journal of Financial Econometrics 14(1): 128–158.
- Gerlach, R. H., Chen, C. W. S. and Lin, L. Y. (2012). Bayesian GARCH Semi-parametric Expected Shortfall Forecasting in Financial Markets, Business Analytics Working Paper No. 01/2012 .
Paper not yet in RePEc: Add citation now
- Härdle, W. K., Hautsch, N. and Mihoci, A. (2015). Local Apative Multiplicative Error Models for High-Frequency Forecasts, Journal of Applied Econometrics 30(4): 529–550.
Paper not yet in RePEc: Add citation now
Hamidi, B., Maillet, B. and Prigent, J. L. (2014). A dynamic autoregressive expectile for time-invariant portfolio protection strategies, Journal of Economic Dynamics and Control 46: 1–29.
- Honda, T. (2004). Quantile Regression in Varying Coefficient Models, Journal of Statistical Planning and Inference 121: 113–125.
Paper not yet in RePEc: Add citation now
Inoue, A., Jin, L. and Rossi, B. (2014). Window selection for out-of-sample forecasting with time-varying parameters, CEPR Discussion Paper No. DP10168 .
Jones, M. C. (1994). Expectiles and M-quantiles are quantiles, Statistics & Probability Letters 20(2): 149–153.
- Jorion, P. (2000). Value at risk: The new benchmark for managing market risk, McGrawHill, 2nd edition, New York.
Paper not yet in RePEc: Add citation now
- Kim, M. O. (2007). Quantile Regression With Varying-Coefficients, The Annals of Statistics 35(2): 92–108.
Paper not yet in RePEc: Add citation now
Kuan, C. M., Yeh, J. H. and Hsu, Y. C. (2009). Assessing value at risk with CARE, the Conditional Autoregressive Expectile models, Journal of Econometrics 150(2): 261– 270.
- Mercurio, D. and Spokoiny, V. (2004). Statistical inference for time-inhomogeneous volatility models, The Annals of Statistics 32(2): 577–602.
Paper not yet in RePEc: Add citation now
Newey, W. K. and Powell, J. L. (1987). Asymmetric least squares estimation and testing, Econometrica 55(4): 819–847.
Pesaran, M. H. and Timmermann, A. (2007). Selection of estimation window in the presence of breaks, Journal of Econometrics 137(1): 134–161.
Spokoiny, V. (1998). Estimation of a function with discontinuities via local polynomial fit with an adaptive window choice, The Annals of Statistics 26(4): 1356–1378.
- Spokoiny, V. (2009). Multiscale local change point detection with applications to Valueat -Risk, The Annals of Statistics 37(3): 1405–1436.
Paper not yet in RePEc: Add citation now
- Spokoiny, V. and Willrich, N. (2015). Bootstrap tuning in ordered model selection, arXiv preprint arXiv:1507.05034 .
Paper not yet in RePEc: Add citation now
- Spokoiny, V. and Zhilova, M. (2015). Bootstrap confidence sets under model misspecification, The Annals of Statistics 43(6): 2653–2675.
Paper not yet in RePEc: Add citation now
Taylor, J. W. (2008). Estimating Value at Risk and Expected Shortfall Using Expectiles, Journal of Financial Econometrics 6(2): 231–252.
Xie, S., Zhou, Y. and Wan, A. T. (2014). A varying-coefficient expectile model for estimating Value at Risk, Journal of Business & Economic Statistics 32(4): 576–592.
Yao, Q. and Tong, H. (1996). Asymmetric least squares regression estimation: a nonparametric approach, Journal of Nonparametric Statistics 6(2): 273–292.