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Estimating expected shortfall using a quantile function model

Yuzhi Cai Orcid Logo

International Journal of Finance & Economics, Volume: 26, Issue: 3, Pages: 4332 - 4360

Swansea University Author: Yuzhi Cai Orcid Logo

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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 2021
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Keywords: expected shortfall, financial returns, generalized Lambda distribution, quantile function, tailshape of distribution
College: School of Management
Issue: 3
Start Page: 4332
End Page: 4360