Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries
Nikola Radivojević, Borislav Bojić and Marija Lakićević
| Year of publication: |
2019
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|---|---|
| Authors: | Radivojević, Nikola ; Bojić, Borislav ; Lakićević, Marija |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 14.2019, 4, p. 43-76
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| Subject: | expected shortfall (ES) | emerging markets | Berkowitz test | Acerbi and Szekely's first method | bootstrap methods | Mediterranean countries | Risikomaß | Risk measure | Schwellenländer | Emerging economies | Bootstrap-Verfahren | Bootstrap approach | Mittelmeerraum | Mediterranean region | Messung | Measurement | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2019.233 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012157429