Estimating value-at-risk and expected shortfall using the intraday low and range data
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Publication:2272312
DOI10.1016/j.ejor.2019.07.011zbMath1431.91444OpenAlexW2961078483WikidataQ127590927 ScholiaQ127590927MaRDI QIDQ2272312
James W. Taylor, Xiaochun Meng
Publication date: 9 September 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/84782/1/IntradayLowVaRES_EJOR_S3.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (4)
Review of statistical approaches for modeling high-frequency trading data ⋮ Loss function-based change point detection in risk measures ⋮ A one-sided Vysochanskii-Petunin inequality with financial applications ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls
Uses Software
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