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Expected shortfall for distributions in finance · Study

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ChapterExpected shortfall for distributions in finance

Simon A. Broda2011

Chapter2011

Expected shortfall for distributions in finance

Simon A. Broda · Marc S. Paolella

40 citations·0/0 files stored·Springer eBooks

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1999Autoregressive Conditional Skewness 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies 2005Measuring Market Risk 2007Financial Modeling Under Non-Gaussian Distributions 2005Autoregresive conditional volatility, skewness and kurtosis 2003Hyperbolic Processes in Finance

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2019Dynamic Adaptive Mixture Models with an Application to Volatility and Risk 2014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall 2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL

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Year2011

Typechapter

Published2011-01-01

VenueSpringer eBooks

Languageen

Citations40

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-3-642-18062-0_2

openalex_workW198055838

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