Empirical study of value‐at‐risk and expected shortfall models with heavy tails

By F. Harmantzis, Linyan Miao, Yifan Chien. 2006

97 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6accd94ab72766023b69cfeaea7dc7a1c665bcfe