✦ LIBER ✦

Empirical study of value‐at‐risk and expected shortfall models with heavy tails

✍ Scribed by Harmantzis, Fotios C.; Miao, Linyan; Chien, Yifan

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

THE EXPECTED SHORTFALL OF QUADRATIC PORT

✍ Simon A. Broda 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 200 KB

Elements of Financial Risk Management ||

✍ Christoffersen, Peter F. 📂 Article 📅 2012 🏛 Elsevier ⚖ 200 KB

Forecasting value-at-risk and expected s

✍ Degiannakis, Stavros; Floros, Christos; Dent, Pamela 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 954 KB

Empirical analysis of jump dynamics, hea

✍ Jung-Bin Su; Jui-Cheng Hung 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 520 KB

GARCH models for daily stock returns: Im

✍ Ardia, David; Hoogerheide, Lennart F. 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 331 KB

Heavy-tailed mixture GARCH volatility mo

✍ Nikolaev, Nikolay Y.; Boshnakov, Georgi N.; Zimmer, Robert 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 602 KB