Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

Enzo D'Innocenzo, Andre Lucas, Bernd Schwaab, Xin Zhang

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Paper Series
No.	24-069/III

Access to Document

@techreport{6b61fcb96dd341aea9e515ea5e00394c,

title = "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter",

author = "Enzo D'Innocenzo and Andre Lucas and Bernd Schwaab and Xin Zhang",

year = "2024",

month = nov,

day = "8",

language = "English",

volume = "24-069/III",

series = "TI Discussion Paper Series",

publisher = "Tinbergen Institute",

number = "24-069/III",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}

TY - UNPB

T1 - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

AU - D'Innocenzo, Enzo

AU - Lucas, Andre

AU - Schwaab, Bernd

AU - Zhang, Xin

PY - 2024/11/8

Y1 - 2024/11/8

M3 - Working paper

VL - 24-069/III

T3 - TI Discussion Paper Series

BT - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

PB - Tinbergen Institute

ER -