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subject:"Derivative"
subject:"Risk measure"
~isPartOf:"Journal of econometrics"
~person:"Girard, Stéphane"
~person:"Ziegel, Johanna F."
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Derivative
Risk measure
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Asymmetric least squares
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Girard, Stéphane
Ziegel, Johanna F.
Hong, Yongmiao
2
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2
Bandi, Federico M.
1
Catania, Leopoldo
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Chan, Thomas W. C.
1
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So, Mike Ka-pui
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Journal of econometrics
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4
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Economic Research Initiatives at Duke (ERID) Working Paper
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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2
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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