Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in Economics and Finance 34 (2017) 4, pp. 506-526
Purpose This paper aims to propose a framework based on the unbiased extreme value volatility estimator (namely, the AddRS estimator) to compute and predict the long position and the short position value-at-risk (VaR) and stressed expected shortfall (ES). The precise prediction of VaR and ES...