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Nonparametric versus parametric expected shortfall
Martin, R. Douglas
;
Zhang, Shengyu
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012117478
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Inefficiency and bias of modified value-at-risk and expected shortfall
Martin, R. Douglas
;
Arora, Rohit
- In:
Journal of risk
19
(
2017
)
6
,
pp. 59-84
Persistent link: https://www.econbiz.de/10011799157
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3
Time-varying volatility asymmetry : a conditioned HAR-RV (CJ) EGARCH-M model
Ceylan, Özcan
- In:
Journal of risk
17
(
2014/15
)
2
,
pp. 21-49
Persistent link: https://www.econbiz.de/10010476249
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