Estimation of multiple period expected shortfall and median shortfall for risk management

DOI10.1080/14697681003785967zbMath1278.91192OpenAlexW2022271436MaRDI QIDQ2869963

Chi-ming Wong, Mike K. P. So

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/18911

zbMATH Keywords

conditional kurtosisvolatilityrisk managementexpected shortfallvalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites Work

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• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.