Sander Barendse

Efficiently Weighted Estimation of Tail and Interquantile Expectations

Sander Barendse, 2020 .

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Dick J. C. van Dijk, E. Kole, Sander Barendse, 2019, Journal of Financial Econometrics.

In and Outside the Tails: Making and Evaluating Forecasts

Sander Barendse, 2019 .

Efficient Portfolio Selection in a Large Market

Sander Barendse, B. Keijsers, Bart Keijsers, 2017 .

Expected Shortfall LASSO

Sander Barendse, 2023, 2307.01033.

Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter

Andrew J. Patton, Sander Barendse, 2020, Journal of Business & Economic Statistics.

Efficiently Weighted Estimation of Tail and Interquantile Expectations

Sander Barendse, 2017 .