Elena Di Bernardino

Conservatoire National des Arts et Métiers (CNAM)

292, rue Saint-Martin

Paris cedex 03, 75141

France

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Risk Management with Expectiles

Number of pages: 22 Posted: 05 Aug 2014 Last Revised: 21 Dec 2014
Fabio Bellini and Elena Di Bernardino
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)
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Citation 11

Abstract:

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Expectiles, Gain-Loss, Garch, Lambert W, Extreme Value Theory