Marija Lakicevic

University of Kragujevac - Faculty of Economics

Djure Pucara Starog 3

Kragujevac, 34000

Serbia

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Scholarly Papers (1)

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Measuring Expected Shortfall Under Semi-Parametric Expected Shortfall Approaches: A Case Study of Selected Southern European/Mediterranean Countries

Journal of Operational Risk, Forthcoming
Number of pages: 34 Posted: 01 Nov 2019
Nikola Radivojevic, Borislav Bojic and Marija Lakicevic
Technical College of Applied Studies, Kragujevac, University Business Academy, Novi Sad - Faculty of Law for Commerce and Judiciary in Novi Sad and University of Kragujevac - Faculty of Economics
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Abstract:

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expected shortfall (ES), emerging markets, Berkowitz test, Acerbi and Szekely’s first method, bootstrap methods, Mediterranean countries.