Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Di Bu, Yin Liao, Jing Shi, Hongfeng Peng
Year of publication: |
2019
|
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Authors: | Bu, Di ; Liao, Yin ; Shi, Jing ; Peng, Hongfeng |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 108.2019, p. 1-15
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Subject: | Expected shortfall | Financial institution | Tail risk | Time horizon | Wavelet analysis | Risikomaß | Risk measure | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Schätzung | Estimation |
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