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Semiparametric estimation of dynamic conditional expected shortfall models
Escanciano, Juan Carlos; Mayoral, Silvia - In: International journal of monetary economics and finance 1 (2008) 2, pp. 106-120
Persistent link: https://www.econbiz.de/10003822450
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Sample dependence of risk premiums
Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37
Persistent link: https://www.econbiz.de/10012052401
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716