Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14
further correct such errors encountered also in closely related results in Kamdem (2007 and 2009) for mixtures of elliptical … distributions. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall …
