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Estimating expected shortfall using a quantile function model
Yuzhi Cai 
International Journal of Finance & Economics, Volume: 26, Issue: 3, Pages: 4332 - 4360
Swansea University Author:
Yuzhi Cai
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DOI (Published version): 10.1002/ijfe.2017
Abstract
Estimating expected shortfall using a quantile function model
| Published in: | International Journal of Finance & Economics |
|---|---|
| ISSN: | 1076-9307 1099-1158 |
| Published: |
Wiley
2021
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa54532 |
| Tags: |
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| Keywords: |
expected shortfall, financial returns, generalized Lambda distribution, quantile function, tailshape of distribution |
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| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
3 |
| Start Page: |
4332 |
| End Page: |
4360 |