Yen H. Lok : Citation Profile


Are you Yen H. Lok?

1

H index

1

i10 index

36

Citations

RESEARCH PRODUCTION:

1

Articles

3

Papers

RESEARCH ACTIVITY:

   2 years (2016 - 2018). See details.
   Cites by year: 18
   Journals where Yen H. Lok has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 1 (2.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo493
   Updated: 2022-10-01    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 (4)

Mora-Valencia, Andrés (4)

Perote, Javier (3)

Gordy, Michael (2)

Liu, Xiaochun (2)

Leymarie, Jérémy (1)

Hurlin, Christophe (1)

Novales, Alfonso (1)

Panopoulou, Ekaterini (1)

Dacorogna, Michel (1)

Scaillet, Olivier (1)

Cites to:

Tasche, Dirk (3)

Christoffersen, Peter (3)

Pelletier, Denis (2)

Giacomini, Raffaella (2)

Diebold, Francis (2)

Ledoit, Olivier (2)

Tay, Anthony S (2)

Acerbi, Carlo (2)

Wolf, Michael (2)

Titman, Sheridan (1)

Scandolo, Giacomo (1)

Main data


Where Yen H. Lok has published?


Recent works citing Yen H. Lok (2022 and 2021)


YearTitle of citing document
2021Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

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2022Adjusted Expected Shortfall. (2022). Wang, Ruodu ; Munari, Cosimo ; Burzoni, Matteo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002491.

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2022Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884.

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2021Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model. (2021). Maecka, Marta. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2021Quantile– based portfolios: post– model– selection estimation with alternative specifications. (2021). Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00396-7.

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2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189.

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2021Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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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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paper36
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: 36
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: 36
paper
2018On the backtesting of trading strategies In: 2018 Papers.
[Full Text][Citation analysis]
paper0

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