Work

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1491418

Authors: Saša Žiković, Randall K. Filer

Institutions: University of Rijeka, Ifo Institute for Economic Research, Center for Economic Research and Graduate Education – Economics Institute, City University of New York, Charles University, University of Michigan, Hunter College

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1853856539

Cites: 49

Cited by: 51

Related to: 10