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Estimating expected shortfall using a quantile function model / Yuzhi Cai

International Journal of Finance & Economics

Swansea University Author: Yuzhi, Cai

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DOI (Published version): 10.1002/ijfe.2017

Published in: International Journal of Finance & Economics
ISSN: 1076-9307 1099-1158
Published: Wiley
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa54532
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Keywords: expected shortfall, financial returns, generalized Lambda distribution, quantile function, tailshape of distribution