Analytical Value-at-Risk and Expected Shortfall under regime-switching
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Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
- Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2022. "Value-at Risk under Measurement Error," Working Papers 202209, University of Liverpool, Department of Economics.
- Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
- Alex YiHou Huang, 2010.
"An optimization process in Value‐at‐Risk estimation,"
Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 109-116, August.
- Huang, Alex YiHou, 2010. "An optimization process in Value-at-Risk estimation," Review of Financial Economics, Elsevier, vol. 19(3), pages 109-116, August.
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Keywords
Regime-switching Probability distribution Value-at-Risk Expected Shortfall Analytical approximation Closed-form solution Simulation Multi-horizon;Statistics
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