CAESar: Conditional Autoregressive Expected Shortfall

By Federico Gatta, Fabrizio Lillo, Piero Mazzarisi

Published 2024-07-04

Everscope rating

1759.6

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: CAESar. Problem types: Time Series Forecasting, Risk Management.

arXiv:2407.06619 · Code · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.