Testing expected shortfall: An application to emerging market stock indices

In a recent paper, Acerbi and Székely (Risk Magazine, 76¿81, 2014) presented three methods to test expected shortfall, and this is the first empirical application of that paper on emerging markets. We employ daily stock index returns from the Morgan Stanley Capital International Inc. Emerging Market...

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Detalles Bibliográficos
Autores Principales: Cardona, E., Mora, A., Velásquez, D.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
Acceso en línea:http://hdl.handle.net/1992/47049