Backtesting expected shortfall for world stock index...

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Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures

Molina‐Muñoz, Enrique, Mora‐Valencia, Andrés, Perote, Javier
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Journal:
International Journal of Finance & Economics
DOI:
10.1002/ijfe.2009
Date:
August, 2020
File:
PDF, 1.95 MB
2020
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