Sander Barendse
Sander Barendse
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I am an Assistant Professor at the University of Amsterdam.
My research focuses on forecasting and forecast evaluation with an emphasis on risk management and portfolio management
Published papers
Published papers
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter, joint with Andrew Patton (forthcoming in Journal of Business and Economic Statistics) (Online Appendix)
Testing Value-at-Risk and Expected Shortfall in the Presence of Estimation Error , joint with Dick van Dijk & Erik Kole (forthcoming in Journal of Financial Econometrics)
Working papers
Expected Shortfall LASSO (3 July 2023)
Efficiently Weighted Estimation of Interquantile and Tail Expectations (R&R, NEW version 7 June 2023)Â
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