Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
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DOI: 10.1016/j.amc.2021.126129
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- Wang, Gang-Jin & Zhu, Chun-Long, 2021. "BP-CVaR: A novel model of estimating CVaR with back propagation algorithm," Economics Letters, Elsevier, vol. 209(C).
- Malik Zaka Ullah & Fouad Othman Mallawi & Mir Asma & Stanford Shateyi, 2022. "On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model," Mathematics, MDPI, vol. 10(16), pages 1-13, August.
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Keywords
Risk; Mixture distribution; GARCH model; Rayleigh distribution; Entropic value-at-risk (EVaR);All these keywords.
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