Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data

标题
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
作者
关键词
Finance, Value-at-Risk, Expected Shortfall, Intraday low, Joint scoring functions
出版物
出版商
Elsevier BV
发表日期
2019-07-10
DOI
10.1016/j.ejor.2019.07.011

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