Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Adeel Nasir, Kanwal Iqbal Khan, Mário Nuno Mata, Pedro Neves Mata, Jéssica Nunes Martins

Open source

DOI: 10.3390/math9040394
Published: 2021-02-17
Container: Mathematics
Publisher: MDPI AG
Open access: unknown

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Cite this work

BibTeX

@article{allodium:10.3390/math9040394,
  title = {Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall},
  author = {Adeel Nasir and Kanwal Iqbal Khan and Mário Nuno Mata and Pedro Neves Mata and Jéssica Nunes Martins},
  year = {2021},
  journal = {Mathematics},
  doi = {10.3390/math9040394},
  url = {https://doi.org/10.3390/math9040394}
}

RIS

TY  - JOUR
TI  - Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall
AU  - Adeel Nasir
AU  - Kanwal Iqbal Khan
AU  - Mário Nuno Mata
AU  - Pedro Neves Mata
AU  - Jéssica Nunes Martins
PY  - 2021
JO  - Mathematics
DO  - 10.3390/math9040394
UR  - https://doi.org/10.3390/math9040394
ER  -

APA

Nasir, A., Khan, K. I., Mata, M. N., Mata, P. N., & Martins, J. N. (2021). Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall. Mathematics. https://doi.org/10.3390/math9040394

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crossref · retrieved 2026-09-26T15:38:54.265Z