Robust forecast evaluation of expected shortfall

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SEEK ID: https://publications.h-its.org/publications/1404

Filename: nby035.pdf 

Format: PDF document

Size: 829 KB

SEEK ID: https://publications.h-its.org/publications/1404

DOI: 10.1093/jjfinec/nby035

Research Groups: Computational Statistics

Publication type: Journal

Journal: Journal of Financial Econometrics

Publisher: Oxford University Press (OUP)

Citation: Journal of Financial Econometrics,18(1):95–120

Date Published: 2020

URL:

Registered Mode: manually

Authors: Johanna F Ziegel, Fabian Krüger, Alexander Jordan, Fernando Fasciati

Citation
Ziegel, J. F., Krüger, F., Jordan, A., & Fasciati, F. (2019). Robust Forecast Evaluation of Expected Shortfall*. In Journal of Financial Econometrics (Vol. 18, Issue 1, pp. 95–120). Oxford University Press (OUP). https://doi.org/10.1093/jjfinec/nby035
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Created: 13th Dec 2021 at 11:06

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