Robust Forecast Evaluation of Expected Shortfall*

Journal of Financial Econometrics 2019 / 02

Robust Forecast Evaluation of Expected Shortfall*

Ziegel, Johanna F, Krüger, Fabian, Jordan, Alexander, Fasciati, Fernando
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Journal:
Journal of Financial Econometrics
DOI:
10.1093/jjfinec/nby035
Date:
February, 2019
File:
PDF, 800 KB
2019
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