Estimating Value at Risk and Expected Shortfall Using Expectiles.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 231, doi. 10.1093/jjfinc/nbn001
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2008 AND VI 6 AND IP 2
Results: 5
1
2
Parameterizing Unconditional Skewness in Models for Financial Time Series.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 208, doi. 10.1093/jjfinec/nbn002
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- Publication type:
- Article
3
Detecting ARCH Effects in Non-Gaussian Time Series.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 271, doi. 10.1093/jjfinec/nbm023
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- Publication type:
- Article
4
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 253, doi. 10.1093/jjfinec/nbm022
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- Publication type:
- Article
5
Time-Varying Arrival Rates of Informed and Uninformed Trades.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 171, doi. 10.1093/jjfinec/nbn003
- By:
- Publication type:
- Article