Alain-Philippe Fortin

University of Geneva

Geneva

Switzerland

  • University of Geneva

SCHOLARLY PAPERS

2

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243

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1

Scholarly Papers (2)

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1.

Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?

Number of pages: 44 Posted: 18 Jul 2018 Last Revised: 07 Dec 2021
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
University of Geneva, HEC Montréal and HEC Montreal - Department of Finance
Downloads 150 (386,917)
Citation 1

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Fama-French and momentum factors, Value-at-Risk, Expected Shortfall, Condi- tional Value-at-Risk, Elicitability, Model comparison, Backtesting, Comparative predictive ac- curacy, Model confidence set

2.

Eigenvalue Tests for the Number of Latent Factors in Short Panels

Swiss Finance Institute Research Paper No. 22-81
Number of pages: 67 Posted: 01 Nov 2022 Last Revised: 02 Nov 2022
Alain-Philippe Fortin, Patrick Gagliardini and O. Scaillet
University of Geneva, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 93 (551,468)

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