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Keywords: Expected shortfall
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2019) 36 (3): 440–463.
Published: 28 June 2019
... of portfolio optimization, which uses variance as a risk measure. The purpose of this paper is to replace this risk measure with modified expected shortfall, defined by Jadhav et al. (2013). Design/methodology/approach Modified expected shortfall introduced by Jadhav et al. (2013...
Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2018) 35 (4): 481–504.
Published: 15 August 2018
... are estimated with different realized volatility measures. The forecasting ability of the Realized GARCH-EVT models is compared with that of the standard GARCH-EVT models. Design/methodology/approach One-step-ahead forecasts of Value-at-Risk (VaR) and expected shortfall (ES) for five European stock indices...
