Estimating expected shortfall using a quantile function model
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DOI: 10.1002/ijfe.2017
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Cited by:
- Yan Fang & Jian Li & Yinglin Liu & Yunfan Zhao, 2023. "Semiparametric estimation of expected shortfall and its application in finance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 835-851, July.
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