Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Xiaochun Meng, James W. Taylor
| Year of publication: |
2020
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|---|---|
| Authors: | Meng, Xiaochun ; Taylor, James W. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 1 (1.1.), p. 191-202
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| Subject: | Expected Shortfall | Finance | Intraday low | Joint scoring functions | Value-at-Risk | Risikomaß | Risk measure | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Aktienindex | Stock index | Börsenkurs | Share price | Schätzung | Estimation | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.07.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012132379