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VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41
Persistent link: https://www.econbiz.de/10010419480
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Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: International review of financial analysis 70 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012318296
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145