Backtesting extreme value theory models of expected shortfall

  1. Novales, A.
  2. Garcia-Jorcano, L.
Journal:
Quantitative Finance

ISSN: 1469-7696,  1469-7688

Year of publication: 2019

Volume: 19

Issue: 5

Pages: 799-825

Type: Article

DOI: 10.1080/14697688.2018.1535182 GOOGLE SCHOLAR
Data source: Scopus