Work

Coherent risk measures under filtered historical simulation

Year: 2004

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2004.08.009

Authors: Kostas Giannopoulos, Radu Tunaru

Institutions: United Arab Emirates University, London Metropolitan University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2121407008

FWCI: 5.212

Cites: 50

Cited by: 57

Related to: 10