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Financial densities in emerging markets: an application of the multivariate ES density

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  • Mauleon, Ignacio

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  • Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
    • Handle: RePEc:eee:ememar:v:4:y:2003:i:2:p:197-223
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    Cited by:

    1. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
    2. Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2022. "Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies," Risk Management, Palgrave Macmillan, vol. 24(1), pages 81-99, March.
    3. Ignacio Mauleón, 2022. "Contributions to Risk Assessment with Edgeworth–Sargan Density Expansions (I): Stability Testing," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
    4. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).

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