most citedExploring the predictability of range-based volatility estimators using RNNs

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q-fin.RM2018

On approximations of Value at Risk and Expected Shortfall involving kurtosis

Matyas Barczy, Adam Dudas, Jozsef Gall

We derive new approximations for the Value at Risk and the Expected Shortfall at high levels of loss distributions with positive skewness and excess kurtosis, and we describe their…