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Operational risk quantified with spectral risk measures : a refined closed-form approximation
Tong, Bin
;
Diao, Xundi
;
Wu, Chongfeng
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1221-1242
Persistent link: https://www.econbiz.de/10012194759
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2
Macroeconomic uncertainty and expected shortfall (and value at risk) : a new dynamic semiparametric model
Pan, Zhiyuan
;
Wang, Yudong
;
Liu, Li
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1791-1805
Persistent link: https://www.econbiz.de/10012696775
Saved in:
3
Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan
;
Bu, Ruijun
;
Liu, Li
;
Wang, Yudong
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
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