On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Emese Lazar, Jingqi Pan, Shixuan Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Lazar, Emese ; Pan, Jingqi ; Wang, Shixuan |
| Published in: |
Journal of commodity markets : JCM. - Amsterdam : Elsevier, ISSN 2405-8505, ZDB-ID 2851869-X. - Vol. 34.2024, Art.-No. 100391, p. 1-14
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| Subject: | Expected Shortfall | Oil futures | Risk models | Semiparametric model | Value-at-Risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2024.100391 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014548240