High-frequency performance of value at risk and expected shortfall: Evidence from ISE30 index futures

Cumhur Ekinci; Kasirga Yildirak; Ali Sabri Taylan

doi:10.1016/B978-0-12-415875-7.00018-X

High-frequency performance of value at risk and expected shortfall: Evidence from ISE30 index futures

Cumhur Ekinci
, Kasirga Yildirak
, Ali Sabri Taylan

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Original language	English
Title of host publication	Rethinking Valuation and Pricing Models
Subtitle of host publication	Lessons Learned from the Crisis and Future Challenges
Publisher	Elsevier
Pages	303-315
Number of pages	13
ISBN (Print)	9780124158757
DOIs	https://doi.org/10.1016/B978-0-12-415875-7.00018-X
Publication status	Published - 2013
Externally published	Yes

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10.1016/B978-0-12-415875-7.00018-X

Cite this

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title = "High-frequency performance of value at risk and expected shortfall: Evidence from ISE30 index futures",

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High-frequency performance of value at risk and expected shortfall: Evidence from ISE30 index futures. / Ekinci, Cumhur; Yildirak, Kasirga; Taylan, Ali Sabri.
Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges. Elsevier, 2013. p. 303-315.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - High-frequency performance of value at risk and expected shortfall

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BT - Rethinking Valuation and Pricing Models

PB - Elsevier

ER -

High-frequency performance of value at risk and expected shortfall: Evidence from ISE30 index futures

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