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"Estimating Value-at-Risk and Expected Shortfall using the intraday low and ..."

Xiaochun Meng, James W. Taylor (2020)

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DOI: 10.1016/J.EJOR.2019.07.011

access: closed

type: Journal Article

metadata version: 2020-02-21

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Xiaochun Meng, James W. Taylor:
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data. Eur. J. Oper. Res. 280(1): 191-202 (2020)

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