Dynamic semiparametric models for expected shortfall (and Value-at-Risk)-Reference-Cited by-同舟云学术

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Published:2019-08 Issue:2 Volume:211 Page:388-413
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Patton Andrew J.,Ziegel Johanna F.,Chen Rui

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference46 articles.

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