Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
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Published:2023
Issue:
Volume:
Page:
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ISSN:1465-1211
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Container-title:Journal of Risk
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language:
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Short-container-title:JOR
Author:
Hassani Samir Saissi,Dionne Georges
Publisher
Infopro Digital Services Limited
Subject
Strategy and Management,Finance