Post Model Correction in Risk Analysis and Management
This work focuses on Value at Risk (VaR) and Expected Shortfall (ES) in conjunction with the so called, low price effect. In order to improve forecasts of risk measures like VaR or ES when low price effect is present, we propose the low price correction which does not involve additional parameters a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ram Arti Publishers
2019-06-01
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| Series: | International Journal of Mathematical, Engineering and Management Sciences |
| Subjects: | |
| Online Access: | https://www.ijmems.in/assets/44-ijmems-19-80-vol.-4%2c-no.-3%2c-542%E2%80%93566%2c-2019.pdf |