Semi-parametric expected shortfall forecasting in financial markets
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Publication:5106839
DOI10.1080/00949655.2016.1246549OpenAlexW2543861543MaRDI QIDQ5106839
Cathy W. S. Chen, Richard H. Gerlach
Publication date: 22 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2016.1246549
Markov chain Monte Carlo methodnonlinearexpected shortfallCARE modelsemi-parametricasymmetric Gaussian distribution
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