On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
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- Rudebusch, Glenn D. & Svensson, Lars E. O., 2002.
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- Mario Domingues de Paula SimÃµes & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes, 2016. "Electricity prices forecast analysis using the extreme value theory," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 1-22.
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- Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org.
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More about this item
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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