Testing expected shortfall : an application to emerging market stock indices
Emilio Cardona, Andrés Mora-Valencia, Daniel Velásquez-Gaviria
| Year of publication: |
2010
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| Authors: | Cardona, Emilio ; Mora-Valencia, Andrés ; Valásquez-Gaviria, Daniel |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 21.2019, 3, p. 153-182
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| Subject: | Value-at-risk | Expected shortfall | Backtesting | Skewed-t | Risikomaß | Risk measure | Schwellenländer | Emerging economies | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-018-0046-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012063260