Estimation of multiple period expected shortfall and median shortfall for risk management (Q2869963)
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scientific article; zbMATH DE number 6247150
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| English | Estimation of multiple period expected shortfall and median shortfall for risk management |
scientific article; zbMATH DE number 6247150 |
Statements
Estimation of multiple period expected shortfall and median shortfall for risk management (English)
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17 January 2014
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conditional kurtosis
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risk management
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value at risk
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expected shortfall
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volatility
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0.9070142
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0.90363485
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0.8738882
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0.8670346
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0.86634165
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0.8657378
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0.8626248
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0.86236846
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0.85689825
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