Rui Chen

Duke University

100 Fuqua Drive

Durham, NC 27708-0204

United States

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Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)

Economic Research Initiatives at Duke (ERID) Working Paper No. 250
Number of pages: 50 Posted: 18 Jul 2017
Duke University - Department of Economics, University of Bern and Duke University
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Citation 23

Abstract:

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Risk Management, Tails, Crashes, Forecasting, Generalized Autoregressive Score