Showing 1 - 10 of 7,393
Persistent link: https://www.econbiz.de/10001536355
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
Persistent link: https://www.econbiz.de/10012221621
Persistent link: https://www.econbiz.de/10009126968
Persistent link: https://www.econbiz.de/10012267042
Persistent link: https://www.econbiz.de/10011632416
Persistent link: https://www.econbiz.de/10011779989
Persistent link: https://www.econbiz.de/10012598574
Persistent link: https://www.econbiz.de/10012434306