Estimating financial risk measures for f
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John Cotter; Kevin Dowd
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Article
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2009
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John Wiley and Sons
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English
β 124 KB
## Abstract This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the ValueβatβRisk and Expected Shortfall. The SRMs are con