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PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
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Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
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pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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