"On approximations of value at risk and expected shortfall involving kurtosis."

Mátyás Barczy, Ádám Dudás, József Gáll (2023)

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DOI: 10.1080/03610918.2020.1869985

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type: Journal Article

metadata version: 2023-08-28

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Mátyás Barczy, Ádám Dudás, József Gáll:
On approximations of value at risk and expected shortfall involving kurtosis. Commun. Stat. Simul. Comput. 52(3): 770-794 (2023)

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