Semiparametric estimation of dynamic conditional expected shortfall models
Year of publication: |
2008
|
---|---|
Authors: | Escanciano, Juan Carlos ; Mayoral, Silvia |
Published in: |
International Journal of Monetary Economics and Finance. - Inderscience Enterprises Ltd. - Vol. 1.2008, 2, p. 106-120
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | conditional value at risk | CVaR | Tail VaR | coherent risk measures | tail risk | market risk | conditional distribution | semiparametric estimation | conditional expected shortfall models |
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