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Number of items: 2.
2021
Gribisch, Bastian and Eckernkemper, Tobias (2021). Intraday conditional value at risk: A periodic mixed-frequency generalized autoregressive score approach. J. Forecast., 40 (5). S. 883 - 911. HOBOKEN: WILEY. ISSN 1099-131X
2018
Eckernkemper, Tobias (2018). Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. J. Financ. Econom., 16 (1). S. 63 - 118. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417