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Keywords = Expected shortfall
Number of Articles: 5
Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange

Volume 22, Issue 1, 2020, Pages 27-43

10.22059/frj.2018.142184.1006131

Saeed Fallahpour; Hamed Tabasi

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  • PDF 557.94 K

The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns

Volume 21, Issue 4, 2019, Pages 593-611

10.22059/frj.2019.282102.1006873

Mahshid Shahrzadi; Dariush Foroghi; Hadi Amiri

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  • PDF 289.63 K

Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange

Volume 20, Issue 4, 2018, Pages 409-426

10.22059/frj.2019.244004.1006538

Reza Tehrani; Sima Fallah Tafti; Sepehr Asefi

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  • PDF 581.84 K

Estimating Portfolio Value-at-Risk and Expected Shortfall by Possibility and Necessity Theory

Volume 19, Issue 2, 2017, Pages 193-216

10.22059/jfr.2017.218621.1006298

Seyed Babak Ebrahimi; Mojgan Aghaei; Negin Mohebbi

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  • PDF 457.78 K

Estimating of value at risk and expected shortfall by using conditional extreme value approach in Tehran Securities Exchange

Volume 18, Issue 3, March 2016, Pages 437-460

10.22059/jfr.2016.62450

Alireza Saranj; Marziyeh Nourahmadii

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  • PDF 520.11 K

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