VaR and expected shortfall: a non-normal regime switching framework
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Publication:3182749
DOI10.1080/14697680902849320zbMath1187.91100OpenAlexW2078882860MaRDI QIDQ3182749
Publication date: 16 October 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/10217/206887
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Cites Work
- Drift and volatility estimation in discrete time
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- Coherent Measures of Risk
- Value-at-risk in a market subject to regime switching
- Stochastic Volatility Model with Filtering
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS