{"id":"https://openalex.org/W3167828212","doi":"https://doi.org/10.1016/j.jbankfin.2021.106248","title":"Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation","display_name":"Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation","publication_year":2021,"publication_date":"2021-07-14","ids":{"openalex":"https://openalex.org/W3167828212","doi":"https://doi.org/10.1016/j.jbankfin.2021.106248","mag":"3167828212"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2021.106248","doi":"https://doi.org/10.1016/j.jbankfin.2021.106248","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2021.106248","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2106.06518","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5033702084","display_name":"Luca Merlo","orcid":"https://orcid.org/0000-0001-5267-5390","observed_orcids":["https://orcid.org/0000-0001-5267-5390"]},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Luca Merlo","raw_affiliation_strings":["Department of Statistical Sciences, Sapienza University of Rome, Piazzale Aldo Moro 5, Rome, 00185, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, Sapienza University of Rome, Piazzale Aldo Moro 5, Rome, 00185, Italy","institution_ids":["https://openalex.org/I861853513"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5000455158","display_name":"Lea Petrella","orcid":"https://orcid.org/0000-0002-1653-5443","observed_orcids":["https://orcid.org/0000-0002-1653-5443"]},"institutions":[{"id":"https://openalex.org/I861853513","display_name":"Sapienza University of Rome","ror":"https://ror.org/02be6w209","country_code":"IT","type":"education","lineage":["https://openalex.org/I861853513"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Lea Petrella","raw_affiliation_strings":["MEMOTEF Department, Sapienza University of Rome, Via del Castro Laurenziano 9, Rome, 00161, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MEMOTEF Department, Sapienza University of Rome, Via del Castro Laurenziano 9, Rome, 00161, Italy","institution_ids":["https://openalex.org/I861853513"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5047898238","display_name":"Valentina Raponi","orcid":"https://orcid.org/0000-0002-9915-563X","observed_orcids":["https://orcid.org/0000-0002-9915-563X"]},"institutions":[{"id":"https://openalex.org/I4405253577","display_name":"IESE Business School","ror":"https://ror.org/00v9d4z37","country_code":"ES","type":"education","lineage":["https://openalex.org/I4405253577","https://openalex.org/I88155538"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Valentina Raponi","raw_affiliation_strings":["IESE Business School, University of Navarra, Avenida Pearson 21, Barcelona, 08034, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IESE Business School, University of Navarra, Avenida Pearson 21, Barcelona, 08034, Spain","institution_ids":["https://openalex.org/I4405253577"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5033702084"],"corresponding_institution_ids":["https://openalex.org/I861853513"],"apc_list":{"value":2540,"currency":"USD","value_usd":2540},"apc_paid":null,"fwci":4.5572,"has_fulltext":true,"cited_by_count":36,"citation_normalized_percentile":{"value":0.95084173,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":99},"biblio":{"volume":"133","issue":null,"first_page":"106248","last_page":"106248"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8461999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8461999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.14110000431537628,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.00139999995008111,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk-forecasting","display_name":"value-at-risk forecasting","score":0.8140000104904175},{"id":"https://openalex.org/keywords/time-varying-var","display_name":"time-varying VAR","score":0.7929999828338623},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.8090000152587891},{"id":"https://openalex.org/keywords/risk-measures","display_name":"risk measures","score":0.5049999952316284},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.8889999985694885}],"concepts":[{"id":"https://openalex.org/C63817138","wikidata":"https://www.wikidata.org/wiki/Q3455889","display_name":"Quantile regression","level":2,"score":0.7028229236602783},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.7022814750671387},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6772972941398621},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6756642460823059},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.6647622585296631},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6624491214752197},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6145460605621338},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5850979089736938},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5494935512542725},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.52402263879776},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.4823119640350342},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4171189069747925},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2958142161369324},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27004632353782654},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.233758807182312},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.19683149456977844},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.161576509475708}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1016/j.jbankfin.2021.106248","doi":"https://doi.org/10.1016/j.jbankfin.2021.106248","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2021.106248","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:2106.06518","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/2106.06518","pdf_url":"http://arxiv.org/pdf/2106.06518","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:2106.06518","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2106.06518","pdf_url":"https://arxiv.org/pdf/2106.06518","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:iris.uniroma1.it:11573/1566195","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/11573/1566195","pdf_url":"https://iris.uniroma1.it/bitstream/11573/1566195/1/Merlo_Forecasting-VaR-preprint_2021.pdf","source":{"id":"https://openalex.org/S4377196107","display_name":"IRIS Research product catalog (Sapienza University of Rome)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"mag:3177176434","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:arx:papers:2106.06518","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378426621002077","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.48550/arxiv.2106.06518","doi":"https://doi.org/10.48550/arxiv.2106.06518","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2106.06518","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2106.06518","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2106.06518","pdf_url":"https://arxiv.org/pdf/2106.06518","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G8461804941","display_name":null,"funder_award_id":"801370","funder_id":"https://openalex.org/F4320321505","funder_display_name":"Generalitat de Catalunya"}],"funders":[{"id":"https://openalex.org/F4320321505","display_name":"Generalitat de Catalunya","ror":"https://ror.org/01bg62x04"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":58,"referenced_works":["https://openalex.org/W2550739","https://openalex.org/W568726942","https://openalex.org/W1629934436","https://openalex.org/W1647779468","https://openalex.org/W1654091908","https://openalex.org/W1727659491","https://openalex.org/W1858239745","https://openalex.org/W1865176962","https://openalex.org/W1963593775","https://openalex.org/W1977073876","https://openalex.org/W1977970167","https://openalex.org/W1981812123","https://openalex.org/W1998073888","https://openalex.org/W2000185500","https://openalex.org/W2004412581","https://openalex.org/W2014930918","https://openalex.org/W2019291268","https://openalex.org/W2020524492","https://openalex.org/W2026738420","https://openalex.org/W2029239567","https://openalex.org/W2033079010","https://openalex.org/W2036071794","https://openalex.org/W2047793472","https://openalex.org/W2059627936","https://openalex.org/W2064835185","https://openalex.org/W2075965721","https://openalex.org/W2078262781","https://openalex.org/W2084871407","https://openalex.org/W2100406142","https://openalex.org/W2107877262","https://openalex.org/W2110994806","https://openalex.org/W2115814664","https://openalex.org/W2129129802","https://openalex.org/W2131288139","https://openalex.org/W2132527237","https://openalex.org/W2135177937","https://openalex.org/W2150747312","https://openalex.org/W2200852825","https://openalex.org/W2505844475","https://openalex.org/W2577686957","https://openalex.org/W2592545909","https://openalex.org/W2799352017","https://openalex.org/W2883003251","https://openalex.org/W2885647151","https://openalex.org/W2896355139","https://openalex.org/W2962769745","https://openalex.org/W2974811896","https://openalex.org/W2975263345","https://openalex.org/W3101267821","https://openalex.org/W3122989352","https://openalex.org/W3123118666","https://openalex.org/W3123227637","https://openalex.org/W3125696988","https://openalex.org/W4232474910","https://openalex.org/W4251244897","https://openalex.org/W4285719527","https://openalex.org/W4292671038","https://openalex.org/W6655631966"],"related_works":["https://openalex.org/W4205583834","https://openalex.org/W7019977448","https://openalex.org/W4246445318","https://openalex.org/W2577686957","https://openalex.org/W2841364728","https://openalex.org/W7117487734","https://openalex.org/W4410954997","https://openalex.org/W4406600320","https://openalex.org/W4280648442","https://openalex.org/W4311145830"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":8},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":10},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":5}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2021-06-22T00:00:00"}