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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Publication: "TERES: Tail Event Risk Expectile based Shortfall"

 

 

 

Publication

 

12.06.2020. Philipp Gschöpf's, Andrija Mihoci's, and Wolfgang Härdle's paper entitled "TERES: Tail Event Risk Expectile based Shortfall" has been accepted for publication in Quantitative Finance.

Congratulations!