Bauwens, Luc (contributor); Storti, G. (contributor) - 2007
value at risk and expected shortfall. Finally we discuss the results
of an application to a series of daily returns on the S … introductory reading see Jorion, 1997) and expected shortfall (ES) (Artzner
et al., 1999).
Accounting for time varying persistence … volatility autocorrelation
structure.
18
References
Acerbi, C., Tasche, D. (2002) On the coherence of Expected Shortfall …