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Persistent link: https://www.econbiz.de/10013401806
The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...
Persistent link: https://www.econbiz.de/10008470280