Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus...

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Principais autores:	Adeel Nasir, Kanwal Iqbal Khan, Mário Nuno Mata, Pedro Neves Mata, Jéssica Nunes Martins
格式:	Artigo
語言:	Inglês
出版:	MDPI AG 2021-02-01
叢編:	Mathematics
主題:	value at risk expected shortfall CAPM Fama and French VaR asset pricing
在線閱讀:	https://www.mdpi.com/2227-7390/9/4/394
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