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Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249
Persistent link: https://www.econbiz.de/10010254873
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Multi-factor granularity adjustments for market and counterparty risks
Fermanian, Jean-David; Florentin, Clément - 2016
Persistent link: https://www.econbiz.de/10012196291
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Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye - In: Quantitative finance 24 (2024) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10014551942