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Title
Author(s)
Mar-2020
Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
Acereda Serrano, Beatriz
;
León Valle, Ángel M.
;
Mora-López, Juan
18-Nov-2022
Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Castillo, Brenda
;
León Valle, Ángel M.
;
Mora-López, Juan
17-Jun-2023
Skewness in energy returns: Estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León Valle, Ángel M.
;
Ñíguez, Trino-Manuel
16-Jan-2024
Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
Castillo, Brenda
;
León Valle, Ángel M.
;
Mora-López, Juan
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Author
3
Mora-López, Juan
2
Castillo, Brenda
1
Acereda Serrano, Beatriz
1
Carnero, M. Angeles
1
Ñíguez, Trino-Manuel
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Expected shortfall
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Backtesting
1
Bootstrap
1
Copulas
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Cryptocurrencies
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2024
1
2023
1
2022
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2020
Document type
4
Article
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4
English
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4
Universidad de Alicante. Departam...