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A note on calculating expected shortfall for discrete time stochastic volatility models

Crossref DOI link: https://doi.org/10.1186/s40854-021-00254-0

Published Online: 2021-06-10

Published Print: 2021-12

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Grabchak, Michael

Christou, Eliana https://orcid.org/0000-0001-5044-0969
License Information

Text and Data Mining valid from 2021-06-10

Version of Record valid from 2021-06-10
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Article History

Received: 13 July 2020

Accepted: 7 May 2021

First Online: 10 June 2021

Declaration

:

: The authors declare that they have no competing interests.