Publications by the researcher in collaboration with BRENDA CASTILLO BRAIS (3)

2023

  1. Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood

    Communications in Statistics: Simulation and Computation

2022

  1. Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

    Mathematics, Vol. 10, Núm. 22

2021

  1. Backtesting VaR under the COVID-19 sudden changes in volatility

    Finance Research Letters, Vol. 43