SOTA Joint VaR-ES forecasting benchmarks and papers with code

Benchmarks

Dataset Name	SOTA Method	Metric
US equity (test)		DM Test Statistic8.37	78	1mo ago
US Equity Returns Nano stocks (out-of-sample)	ReSGA	Average Loss (ℓoos)3.6932	13	1mo ago
US Equity Returns Micro stocks (out-of-sample)	ReSGA	Average Loss (OOS)3.4036	13	1mo ago
US Equity Returns Small stocks (out-of-sample)	ReSGA	Average Loss (Out-of-Sample)3.2635	13	1mo ago
US Equity Returns Large stocks (out-of-sample)	ReSGA	Average Loss (ℓoos)3.0417	13	1mo ago
US Equity Returns Mega stocks (out-of-sample)	ReSGA	Average Loss (OOS)2.8081	13	1mo ago
US Equity Returns All stocks (out-of-sample)	ReSGA	Average Loss (Out-of-Sample)3.2793	13	1mo ago

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