Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures
Author:
Affiliation:
1. School of Management Universidad de los Andes Bogotá Colombia
2. Department of Economics and Economic History University of Salamanca (IME), Campus Miguel de Unamuno (Edif. F.E.S.) Salamanca Spain
Funder
FAPA-Uniandes
Spanish Ministry of Economics and Competitiveness
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2009
Reference79 articles.
1. Backtesting expected shortfall;Acerbi C.;Risk Magazine,2014
2. Acerbi C. &Szekely B.(2017). General properties of backtestable statistics. Working paper Retrieved fromhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2905109.
3. On the coherence of expected shortfall
4. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
5. Thinking coherently;Artzner P.;Risk,1997
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