Search Results - subject:"Marginal expected shortfall"

Zeldea, Cristina - In: Administrative Sciences 10 (2020) 3, pp. 1-14

2004:1-2019:1 period. We first compute Marginal Expected Shortfall values for the entities in our sample and then imbed …

Persistent link: https://www.econbiz.de/10012612182

Zeldea, Cristina - In: Administrative Sciences : open access journal 10 (2020) 3/52, pp. 1-14

2004:1-2019:1 period. We first compute Marginal Expected Shortfall values for the entities in our sample and then imbed …

Persistent link: https://www.econbiz.de/10012271424

Banulescu, Denisa; Hurlin, Christophe; Leymarie, Jérémy; … - 2019

associated with the marginal expected shortfall (MES), and we define unconditional coverage and independence tests for these …

Persistent link: https://www.econbiz.de/10012101182

Gribkova, N. V.; Su, J.; Zitikis, R. - In: Insurance / Mathematics & economics 107 (2022), pp. 199-222

Persistent link: https://www.econbiz.de/10013471211

Liu, Ruicheng; Pun, Chi Seng - In: Journal of banking & finance 136 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013448776

Trung Hai Le - In: International journal of emerging markets 17 (2022) 8, pp. 2052-2083

Persistent link: https://www.econbiz.de/10014331635

Li, Jinzhu - In: Insurance / Mathematics & economics 102 (2022), pp. 146-168

Persistent link: https://www.econbiz.de/10013271968

Qin, Xiao; Chen Zhou - In: Journal of banking & finance 126 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820456

Chakroun, Mohamed Amin; Gallali, Mohamed Imen - In: International journal of banking, accounting and … 12 (2021) 3, pp. 201-239

Persistent link: https://www.econbiz.de/10012594656

Liu, Xiaohang; Li, Handong - In: Journal of risk 24 (2021) 1, pp. 53-77

Persistent link: https://www.econbiz.de/10012816812

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