Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus...
| Autor principal: | |
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| Outros Autores: | , , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2021
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.15/3439 |
| País: | Portugal |
| Oai: | oai:repositorio.ipsantarem.pt:10400.15/3439 |