A Simple and Robust Expected Shortfall Estimation Approach and A Comprehensive Comparison of Volatility Models.
Title: | A Simple and Robust Expected Shortfall Estimation Approach and A Comprehensive Comparison of Volatility Models. |
Author: | Zhao, Yang |
Advisors: | Tao Pang, Chair Zhilin Li, Member Negash Medhin, Member Sujit Ghosh, Minor |
Date: | 2018-03-26 |
Degree: | Doctor of Philosophy |
Discipline: | Operations Research |
URI: | http://www.lib.ncsu.edu/resolver/1840.20/35073 |
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