The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data (Q6073568)
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scientific article; zbMATH DE number 7739063
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| English | The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data |
scientific article; zbMATH DE number 7739063 |
Statements
The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data (English)
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18 September 2023
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autoregressive
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conditional heteroscedasticity
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energy risk
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quantitative risk management
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return
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