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Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
Martins-Filho, Carlos, (2006)
Semiparametric Stochastic Frontier Estimation via Profile Likelihood
Martins-Filho, Carlos, (2015)
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos, (2012)