"Efficiency gains in value-at-risk and expected shortfall estimation by ..."

Brenda Castillo-Brais, Ángel León, Juan Mora (2025)

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DOI: 10.1080/03610918.2023.2300372

access: closed

type: Journal Article

metadata version: 2025-08-05

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Brenda Castillo-Brais, Ángel León, Juan Mora:
Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood. Commun. Stat. Simul. Comput. 54(6): 1949-1965 (2025)

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