Backtesting expected shortfall for world stock index ETFs with extreme value theory and GramâCharlier mixtures
MolinaâMuñoz, Enrique, MoraâValencia, Andrés, Perote, JavierJournal:
International Journal of Finance & Economics
DOI:
10.1002/ijfe.2009
Date:
August, 2020
File:
PDF, 1.95 MB
2020