High-Frequency Performance of Value at Risk and Expected Shortfall: Evidence from ISE30 Index Futures

Cumhur Ekinci^*, Kasirga Yildirak, Ali Sabri Taylan

^*Corresponding author for this work

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

Original language	English
Title of host publication	Rethinking Valuation and Pricing Models
Publisher	Elsevier Inc.
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

Access to Document

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title = "High-Frequency Performance of Value at Risk and Expected Shortfall: Evidence from ISE30 Index Futures",

author = "Cumhur Ekinci and Kasirga Yildirak and Taylan, \{Ali Sabri\}",

year = "2013",

doi = "10.1016/B978-0-12-415875-7.00018-X",

language = "English",

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pages = "303--315",

booktitle = "Rethinking Valuation and Pricing Models",

publisher = "Elsevier Inc.",

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TY - CHAP

T1 - High-Frequency Performance of Value at Risk and Expected Shortfall

T2 - Evidence from ISE30 Index Futures

AU - Ekinci, Cumhur

AU - Yildirak, Kasirga

AU - Taylan, Ali Sabri

PY - 2013

Y1 - 2013

UR - https://www.scopus.com/pages/publications/84882806432

U2 - 10.1016/B978-0-12-415875-7.00018-X

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

M3 - Chapter

AN - SCOPUS:84882806432

SN - 9780124158757

SP - 303

EP - 315

BT - Rethinking Valuation and Pricing Models

PB - Elsevier Inc.

ER -