Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data-Reference-Cited by-同舟云学术

Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data

Published:2020-01 Issue:1 Volume:280 Page:191-202
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Meng Xiaochun,Taylor James W.

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference44 articles.

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