VaR and expected shortfall: a non-normal regime switching framework
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DOI: 10.1080/14697680902849320
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Cited by:
- Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh, 2017.
"Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors,"
JRFM, MDPI, vol. 10(1), pages 1-14, February.
- Dobrislav Dobrev & Travis D. Nesmith & Dong Hwan Oh, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (U.S.).
- Jiliang Sheng & Juchao Li & Jun Yang, 2022. "Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform," Energies, MDPI, vol. 15(16), pages 1-19, August.
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Asset pricing; Capital structure; Corporate finance; Copulas;All these keywords.
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