Multiday expected shortfall under generalized t distributions: evidence from global stock market
(2020)
Journal Article
Iqbal, R., Sorwar, G., Baker, R., & Choudhry, T. (2020). Multiday expected shortfall under generalized t distributions: evidence from global stock market. Review of Quantitative Finance and Accounting, 55(3), 803-825. https://doi.org/10.1007/s11156-019-00860-1
We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa... Read More about Multiday expected shortfall under generalized t distributions: evidence from global stock market.