Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange
<strong>Objective:</strong> After the financial crisis in 2008, market practitioners and financial researchers began to attach more importance to risk measurement and modeling. Expected shortfall is recognized risk measures in financial literature. <br /><strong>Methods:</strong> By the estimation o...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Persa |
| Publicat: |
University of Tehran
2020-05-01
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| Col·lecció: | تحقیقات مالی |
| Matèries: | |
| Accés en línia: | https://jfr.ut.ac.ir/article_76322_a8b12d09cd70f01e44319f8e6bd64903.pdf |
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