Work

Estimating Value at Risk and Expected Shortfall Using Expectiles

Year: 2007

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbn001

Author: J. W. Taylor

Institution: University of Oxford

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2107877262

FWCI: 9.429

Cites: 20

Cited by: 309

Related to: 10