BRENDA
CASTILLO BRAIS
Researcher in the period 2017-2022
ANGEL MANUEL
LEON VALLE
PROFESOR/A TITULAR UNIVERSIDAD
Publications by the researcher in collaboration with ANGEL MANUEL LEON VALLE (3)
2023
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Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
Communications in Statistics: Simulation and Computation
2022
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Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?
Mathematics, Vol. 10, Núm. 22
2021
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Backtesting VaR under the COVID-19 sudden changes in volatility
Finance Research Letters, Vol. 43