Yen H. Lok : Citation Profile


Are you Yen H. Lok?

1

H index

1

i10 index

15

Citations

RESEARCH PRODUCTION:

1

Articles

3

Papers

RESEARCH ACTIVITY:

   2 years (2016 - 2018). See details.
   Cites by year: 7
   Journals where Yen H. Lok has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 1 (6.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo493
   Updated: 2020-02-22    RAS profile: 2018-08-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yen H. Lok.

Is cited by:

Fantazzini, Dean (3)

Dacorogna, Michel (1)

Panopoulou, Ekaterini (1)

Gordy, Michael (1)

Novales, Alfonso (1)

Leymarie, Jérémy (1)

Mora-Valencia, Andrés (1)

Cites to:

Tasche, Dirk (3)

Christoffersen, Peter (3)

Giacomini, Raffaella (2)

Diebold, Francis (2)

Tay, Anthony S (2)

Wolf, Michael (2)

Acerbi, Carlo (2)

Ledoit, Olivier (2)

Melenberg, Bertrand (1)

Rossi, Barbara (1)

White, Halbert (1)

Main data


Where Yen H. Lok has published?


Recent works citing Yen H. Lok (2018 and 2017)


YearTitle of citing document
2019Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1801.04112.

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2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

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2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2018Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21.

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2018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2019Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan. In: MPRA Paper. RePEc:pra:mprapa:95988.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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Works by Yen H. Lok:


YearTitleTypeCited
2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall In: Papers.
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2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall.(2018) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
2016Multinomial var backtests: A simple implicit approach to backtesting expected shortfall.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2018On the backtesting of trading strategies In: 2018 Papers.
[Full Text][Citation analysis]
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