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Coherent risk measures under filtered historical simulation

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Author Info
Giannopoulos, Kostas
Tunaru, Radu
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 4 (April)
Pages: 979-996
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Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996

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  1. Cotter, John & Dowd, Kevin, 2006. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper 3495, University Library of Munich, Germany. [Downloadable!]
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