A Simple and Robust Expected Shortfall Estimation Approach and A Comprehensive Comparison of Volatility Models.

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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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