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"The expected-based value-at-risk and expected shortfall using quantile and ..."

Khreshna Syuhada, Arief Hakim, Risti Nur'aini (2023)

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DOI: 10.1080/03610918.2021.1928191

access: closed

type: Journal Article

metadata version: 2023-09-08

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Khreshna Syuhada, Arief Hakim, Risti Nur'aini:
The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data. Commun. Stat. Simul. Comput. 52(7): 3104-3121 (2023)

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