Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons (Q2338545)
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scientific article; zbMATH DE number 7134765
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| English | Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons |
scientific article; zbMATH DE number 7134765 |
Statements
Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons (English)
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21 November 2019
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financial institution
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tail risk
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expected shortfall
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wavelet analysis
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time horizon
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0.7930471301078796
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0.7632352709770203
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0.7494801878929138
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0.7363486289978027
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0.7356995940208435
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