Open AccessBacktesting Extreme Value Theory Models of Expected Shortfall
Author(s) -
Alfonso Novales,
Laura GarciaJorcano
Publication year - 2017
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3023909
Subject(s) - expected shortfall , extreme value theory , econometrics , value (mathematics) , economics , mathematics , statistics , financial economics , portfolio
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